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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 across Selective Industries

Malte Raudszus (Autor)

Buch | Hardcover

XXV, 183 Seiten

2012
Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
978-3-631-62249-0 (ISBN)

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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.

Malte Helmut Raudszus studied business administration and software engineering at the European Business School in Oestrich-Winkel, the Universidad de la Empresa in Buenos Aires and the BI Norwegian School of Management in Oslo. After working two years in strategy consulting, he pursued his PhD in Corporate Finance at the Technische Universität Darmstadt.

Contents: Five studies analyzing shareholder wealth effects due to related (M&A) and unrelated (financial crisis) events around stock listed firms - 'Abnormal returns' - Models form the GARCH-family.

Erscheint lt. Verlag	6.9.2012
Reihe/Serie	Corporate Finance and Governance ; 9
Verlagsort	Frankfurt a.M.
Sprache	englisch
Maße	148 x 210 mm
Gewicht	380 g
Themenwelt	Informatik ► Datenbanken ► Data Warehouse / Data Mining
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	A) • across • Affect • Announcements • Banking • Beta risk analysis • Compendium • Crisis • Dirk • effect • Empirical • Events • Financial • Financial Crisis • Five • GARCH / EGARCH • Industries • Malte • mean • Mergers and acquisitions (M&A) • Mergers and acquisitions (M&amp • Mergers and Acquisitions (M&A) • Mergers and acquisitions (M&amp • Raudszus • Real Estate industry • REITs • Return • Returns • Risk • Schiereck • selective • Shareholder • Stock • Studies • Wealth
ISBN-10	3-631-62249-X / 363162249X
ISBN-13	978-3-631-62249-0 / 9783631622490
Zustand	Neuware