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
Erscheinungsjahr 2012
ISBN: 978-3-631-62249-0
Verlag: Peter Lang

Buch, Englisch, Band 9, 183 Seiten, HC gerader Rücken kaschiert, Format (B × H): 153 mm x 216 mm, Gewicht: 390 g

Reihe: Corporate Finance and Governance

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.

Autoren/Hrsg.

Raudszus, Malte

Raudszus, Malte Helmut

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzkrisen
• Wirtschaftswissenschaften Volkswirtschaftslehre Finanzkrisen, Wirtschaftskrisen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte

Inhaltsverzeichnis

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.

Über Autor(innen)

Raudszus, Malte Helmut
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.

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.