Financial Return Risk and the Effect on Shareholder Wealth : How M&A Announcements and Banking Crisis Events Affect Stock Mean Returns and Stock Return Risk- A Compendium of Five Empirical Studies acr Hardback
by Malte Raudszus
Part of the Corporate Finance and Governance series
Hardback
Description
This dissertation comprises five studies analyzing daily stock returns of listed firms.
Studies one and two shed light on corporate diversification through M&A and how related risk dynamics affect shareholder wealth.
Carrying over the risk analysis methodology ‘GARCH’ to external events in studies three and four, the author individually scrutinizes the adverse implications of bank failures and bailouts in the 2007-2009 financial crisis.
Finding opposing return shocks, he identifies the limits of the ‘symmetric’ GARCH.
As observed of the behavior of stock return data, volatility reacts asymmetrically to positive and negative return shocks.
The advanced EGARCH incorporates this so called ‘leverage effect’.
Applying the EGARCH in his final study, the author can simultaneously scrutinize the adverse bank events with an appropriate econometric foundation.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:183 pages
- Publisher:Peter Lang AG
- Publication Date:06/09/2012
- Category:
- ISBN:9783631622490
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:183 pages
- Publisher:Peter Lang AG
- Publication Date:06/09/2012
- Category:
- ISBN:9783631622490
