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Corporate Acquisitions and Expected Stock Returns: A Meta-Analysis
Parreau, Thibault ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averaging to reduce the model uncertainty and find out why our abnormal returns estimates greatly vary across stud- ies. Our results suggest that one of the most important drivers are the standard-error terms. This subsequently proves that publication bias is the most responsible for the heterogeneity amongst our estimates. Our analysis fails to demonstrate any positive effects from M&A activity on a firm post-acquisition performance. We suggest that other motives are under-represented in the underlying theory that aims to assess M&A outcomes. Keywords Mergers and Acquisitions, Stock Returns, Abnormal Re- turns, Meta-Analysis, Publication bias Author's e-mail thibault.parreau@gmail.com Supervisor's e-mail...
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Trading volume and expected stock returns: a meta-analysis
Bajzík, Josef ; Havránek, Tomáš (advisor) ; Červinka, Michal (referee)
I investigate the relationship between expected stock returns and trading volume. I collect together 522 estimates from 46 studies and conduct the first meta-analysis in this field. Use of Bayesian model averaging and Frequentist model averaging help me to discover the most influential factors that affect the return-volume relationship, since I control for more than 50 differences among primary articles such as midyear and type of data, length of the primary dataset, size of market, or model employed. In the end, I find out that the relation between expected stock returns and trading volume is rather negligible. On the other hand, the contemporaneous relation between returns and volume is positive. These two findings cut the mixed results from previously written studies. Moreover, the investigated relationship is influenced by the size of country of interest and the level of its development. Besides the primary studies that employ higher data frequency provide substantially larger estimates than the studies with data from longer time periods. On the contrary, there is no difference among different estimation methodologies used. Finally, I employ classical and modern techniques such as stem-based methodology for publication bias detection, and I find evidence for it in this field. 1
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Corporate Acquisitions and Expected Stock Returns: A Meta-Analysis
Parreau, Thibault ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averaging to reduce the model uncertainty and find out why our abnormal returns estimates greatly vary across stud- ies. Our results suggest that one of the most important drivers are the standard-error terms. This subsequently proves that publication bias is the most responsible for the heterogeneity amongst our estimates. Our analysis fails to demonstrate any positive effects from M&A activity on a firm post-acquisition performance. We suggest that other motives are under-represented in the underlying theory that aims to assess M&A outcomes. Keywords Mergers and Acquisitions, Stock Returns, Abnormal Re- turns, Meta-Analysis, Publication bias Author's e-mail thibault.parreau@gmail.com Supervisor's e-mail...
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