Eaton, Gregory W.
[Verfasser:in]
;
Liu, Tingting
[Sonstige Person, Familie und Körperschaft];
Officer, Micah S.
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Forthcoming, Journal of Financial and Quantitative Analysis
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 14, 2019 erstellt
Beschreibung:
Many academic studies use fixed pre-announcement event days (such as -20, -42, or -63) to measure takeover premiums. In this paper, we show that the use of traditional fixed windows generates premiums that are underestimated by as much as eight percentage points. This downward bias is especially severe for transactions with long processes (such as target-initiated deals). We take account of this bias by hand-collecting deal initiation dates and show that using these dates results in measured premiums that give contradictory conclusions to those found in existing literature. We also offer guidance for measuring premiums if hand-collecting data is impractical