Financial Return Risk and the Effect on Shareholder Wealth: How M&A Announcements and Banking Crisis Events Affect Stock Mean Returns and Stock Return ... 9 (Corporate Finance and Governance) - Hardcover

Raudszus, Malte

 
9783631622490: Financial Return Risk and the Effect on Shareholder Wealth: How M&A Announcements and Banking Crisis Events Affect Stock Mean Returns and Stock Return ... 9 (Corporate Finance and Governance)
Hardcover
ISBN 10: 363162249X ISBN 13: 9783631622490
Publisher: Peter Lang AG, 2012

Synopsis

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.

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About the Author

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.

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Publisher
Peter Lang AG
Publication date
2012
Language
English
ISBN 10 
363162249X
ISBN 13 
9783631622490
Binding
Hardcover
Number of pages
208