Takeover motives during the conglomerate merger wave

Article Abstract:

Explanations for the diversification during the conglomerate merger wave of the 1960s are examined through an analysis of the stock market's response to acquisition announcements. A dataset is constructed and returns are evaluated. It is implied, based on the benefits obtained by acquirer shareholders, that managers' objectives did not spur diversification. Moreover, the hypothesis that the market favored acquisitions exploiting managerial synergies, but not those disciplining target management, is supported by findings that the market responded positively to bidders retaining target company management.

Acquisitions and mergers, Tender offers (Securities), Tender offers

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Nonparametric risk management and implied risk aversion

Article Abstract:

Use of statistical value-at-risk (S-VaR) and economic value-at-risk (E-VaR) measures in analyzing financial risk management of investing in stocks is discussed. Differences in risk assessments produced by S-VaR and E-VaR for the S&P 500 index are also analyzed. Other details regarding the risk management process are also included.

Analysis, Portfolio management, Securities, Investments, Risk management, Securities prices

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Post- '87 crash fears in the S&P 500 futures option market

Article Abstract:

Use of stochastic volatility and stochastic volatility/jump-diffusion models to analyze prices of S&P 500 future options in the period following the financial market crash in 1987 is discussed. Additional details on procedures used to estimate and compare option prices are also included.

Options (Finance), Financial futures, Futures market, Futures markets

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