scale depresses merger arbitrage spreads, thus lowering alpha. While we find that fund size has no impact on alpha … to demand for arbitrage capital as much as to its supply. Sector size affects alpha via price impact channel: larger …

merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on …Using merger announcements and applying methods from computational linguistics we find strong evidence that stock … merger completion increases the subsequent 12-day return of a long-short merger strategy by 1.2 percentage points. Filtering …

analysis of takeover rumors of publically traded US companies from 1990 to 2008 shows that these two types of rumors can be … statistically distinguished by returns of rumored takeover targets before rumor publication. However, market responses to the rumors …, takeover premiums of sampled targets cannot be explained by markup pricing hypothesis although the hypothesis is supported by …

analysis of takeover rumors of publicly traded US companies from 1990 to 2008 shows that these two types of rumors can be … statistically distinguished by returns of rumored takeover targets before rumor publication. However, market responses to the rumors …, takeover premiums of sampled targets cannot be explained by markup pricing hypothesis although the hypothesis is supported by …

This paper examines whether market evaluates merger announcements in a reasonable way based on their effect on … fundamental value using a sample of 37 mergers from U.S. industries completed within 1992-1997. For this purpose, the post-merger … to market efficiency hypothesis. Full sample analysis shows that bidder abnormal stock return at the merger announcement …