upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of …

We evaluate the over-valuation hypothesis and merger arbitrage price pressure hypothesis as potential explanations for … the observed negative returns to stock acquirers around merger announcement. Using daily shorting flow data, we show that … the majority of the negative announcement returns can be attributed to price pressure induced by merger arbitrage short …

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 provides evidence of merger timing induced by investors' overoptimism. We distinguish between hot and cold … merger markets and examine the movements of bidding firms' stock prices, around, before and after mergers announcements. Our … when investors are highly overoptimistic and react irrationally to a merger announcement. We find evidence that bidders …

We show that merger announcement returns account for virtually all of the measured size premium. An empirical proxy for … ex ante takeover exposure positively and robustly relates to cross-sectional expected returns. The relation between size … and expected returns becomes positive or insignificant, rather than negative, conditional on this takeover characteristic …

restructuring. We argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing so …