Bühlmaier, Matthias, Zechner, Josef. 2020. Financial Media, Price Discovery, and Merger Arbitrage. Review of Finance. 25 (4), 997-1046.

RIS

@ARTICLE{Bühlmaier2020,
title = {Financial Media, Price Discovery, and Merger Arbitrage},
author = {Matthias Bühlmaier and Josef Zechner},
year = {2020},
doi = {https://doi.org/10.1093/rof/rfaa037},
url = {https://academic.oup.com/rof/article/25/4/997/6029022},
volume = {25},
number = {4},
language = {EN},
pages = {997-1046},
journal = {Review of Finance},
abstract = {Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger completion increases the subsequent 12-day return of a long-short merger strategy by 1.2 percentage points. Filtering out the 28% of announced deals with the lowest media-implied completion probability increases the annualized alpha from merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on days when only few merger deals are announced.},
}