The stock market reaction to mergers and acquisitions : evidence from the banking industry

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dc.contributor.advisorCortés Durán, Lina Marcelaspa
dc.contributor.authorLozada Hernández, Juan Manuel
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.creator.degreeMagíster en Ciencias en Finanzasspa
dc.creator.emailjmlozadah@eafit.edu.cospa
dc.date.accessioned2020-09-02T16:50:58Z
dc.date.available2020-09-02T16:50:58Z
dc.date.issued2020
dc.description.abstractMergers and acquisitions (M&As) are mainly a mechanism used in the Latin American banking industry to carry out business consolidation. This paper focuses on the effect of M&A announcements on stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormalreturns(CAR)andimpactsonevent-inducedvariance(EIV).WeusetheGARCHbased event-study method. We find that acquirers and target banks have a statistically significant CAR, however, the sign is inconclusive. Rivals of acquirers and targets are not affected by M&A announcements. In general, we observe that EIV is negative for acquirers, targets, and rivals. Finally, we estimate a multivariate GARCH model to isolate the effects of co-movements of volatility between the acquirer and the target, and we find that the results remain qualitatively equal.spa
dc.identifier.ddc332.6 L925
dc.identifier.urihttp://hdl.handle.net/10784/17610
dc.language.isospaspa
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.publisher.placeMedellínspa
dc.publisher.programMaestría en Ciencias en Finanzasspa
dc.rightsTodos los derechos reservadosspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.rights.localAcceso abiertospa
dc.subjectBancarizaciónspa
dc.subjectMercado de valoresspa
dc.subjectFusiones y adquisicionesspa
dc.subjectIndustria bancariaspa
dc.subject.keywordEmerging marketsspa
dc.subject.keywordGARCH event studyspa
dc.subject.lembINVERSIONESspa
dc.subject.lembCOMPAÑÍAS CONSOLIDADASspa
dc.subject.lembCAPITAL BANCARIOspa
dc.subject.lembSISTEMA BANCARIOspa
dc.subject.lembACCIONES (BOLSA)spa
dc.titleThe stock market reaction to mergers and acquisitions : evidence from the banking industryspa
dc.typemasterThesiseng
dc.typeinfo:eu-repo/semantics/masterThesiseng
dc.type.hasVersionacceptedVersioneng
dc.type.localTesis de Maestríaspa

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Maestría en Ciencias en Finanzas (tesis)