Shareholders wealth and mergers and acquisitions (M&AS)

Justice Kyei-Mensah*, Chen Su, Nathan Lael Joseph

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We re-examine the abnormal returns (ARs) around merger announcements using a large sample of 8,945 announcements. We estimate the ARs using the Carhart (1997) fourfactor model under the standard ordinary least square (OLS) method and the Glosten et al.'s (1993) asymmetric GARCH specification (hereafter, GJR-GARCH). Under the OLS method, acquirers do not generate significant cumulative ARs (CARs) in line with prior work. Our new results, however, show that under the GJR-GARCH estimation, acquirers generate positive and significant cumulative CARs. We attribute the gains to the use of the GJR-GARCH estimation method, as the GJR-GARCH method is more effective in capturing conditional volatility and asymmetry in the excess returns.

Original languageEnglish
Pages (from-to)15-24
Number of pages10
JournalInvestment Management and Financial Innovations
Issue number3
Early online date4 Oct 2017
Publication statusPublished - 4 Oct 2017

Bibliographical note

© The author(s) 2017. This publication is an open access article - This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.


  • Abnormal returns (ARs)
  • Mergers and acquisitions (M&As)
  • Shareholders wealth


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