An options-based approach to forecast competing bids: evidence for Canadian takeover battles

References

• Aktas, N., de Bodt, E., Declerck, F. and Van Oppens, H. (2007) The PIN anomaly around M&A announcements, Journal of Financial Markets, 10, 169–91.
   Web of Science ®Google Scholar
• Aktas, N., de Bodt, E. and Roll, R. (2004) Market response to European regulation of business combinations, Journal of Financial Quantitative Analysis, 39, 731–58.
   Web of Science ®Google Scholar
• Ambrose, B. W. and Megginson, W. L. (1992) The role of asset structure, ownership structure, and takeover defenses in determining acquisition likelihood, Journal of Financial and Quantitative Analysis, 27, 575–89.
   Web of Science ®Google Scholar
• Andrade, G., Mitchell, M. and Stafford, E. (2001) New evidence and perspectives on mergers, Journal of Economic Perspectives, 15, 103–20.
   Web of Science ®Google Scholar
• Banerjee, A. and Owers, J. E. (1992) Wealth reduction in white knight bids, Financial Management, 21, 48–57.
   Web of Science ®Google Scholar
• Banerjee, A. and Owers, J. E. (1996) The impact of the nature and sequence of multiple bids in corporate control contests, Journal of Corporate Finance, 3, 23–43.
   Google Scholar
• Barnes, P. (1990) The prediction of takeover targets in the UK by means of multiple discriminant analysis, Journal of Business Finance and Accounting, 17, 73–84.
   Google Scholar
• Barnes, P. (1999) Predicting UK takeover targets: some methodological issues and an empirical study, Review of Quantitative Finance and Accounting, 12, 283–301.
   Google Scholar
• Barnes, P. (2000) The identification of U.K. takeover targets using published historical cost accounting data: some empirical evidence comparing logit with linear discriminant analysis and raw financial ratios with industry-relative ratios, International Review of Financial Analysis, 9, 147–62.
   Google Scholar
• Black, F. and Scholes, M. S. (1973) The pricing of options and corporate liabilities, Journal of Political Economy81, 637–59.
   Web of Science ®Google Scholar
• Boone, A. L. and Mulherin, J. H. (2007) How are firms sold?, Journal of Finance62, 847–75.
   Web of Science ®Google Scholar
• Bradley, M., Desai, A. and Kim, E. H. (1988) Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms, Journal of Financial Economics, 21, 3–40.
   Web of Science ®Google Scholar
• Branch, B. S. and Yang, T. (2003) Predicting successful takeovers and risk arbitrage, Quarterly Journal of Business & Economics, 42, 3–18.
   Google Scholar
• Brown, K. C. and Raymond, M. V. (1986) Risk arbitrage and the prediction of successful corporate takeovers, Financial Management, 15, 54–63.
   Web of Science ®Google Scholar
• Cao, C., Chen, Z. and Griffin, J. M. (2005) Informational content of option volume prior to takeovers, Journal of Business, 78, 1073–1109.
   Web of Science ®Google Scholar
• Carroll, C., Griffith, J. M. and Rudolph, P. M. (1998) The performance of white-knight management, Financial Management, 27, 46–56.
   Web of Science ®Google Scholar
• Casella, G. and Berger, R. L. (2002) Statistical Inference, 2nd edn, Duxbury, Pacific Grove, CA.
   Google Scholar
• Cheh, J. J., Weinberg, R. S. and Yook, K. C. (1999) An application of an artificial neural network investment system to predict takeover targets, Journal of Applied Business Research, 15, 33–45.
   Google Scholar
• Cornelli, F. and Li, D. D. (2002) Risk arbitrage in takeovers, Review of Financial Studies, 15, 837–68.
   Web of Science ®Google Scholar
• Dietrich, J. K. and Sorensen, E. (1984) An application of logit analysis to prediction of merger targets, Journal of Business Research, 12, 393–402.
   Web of Science ®Google Scholar
• Duan, J.-C. (1994) Maximum likelihood estimation using price data of the derivative contract, Mathematical Finance, 4, 155–167.
   Google Scholar
• Eichler, S. and Maltritz, D. (2010) Currency crisis prediction using ADR market data: an options-based approach, International Journal of Forecasting, 26, 858–84.
   Web of Science ®Google Scholar
• Fama, E. F. (1970) Efficient capital markets: a review of theory and empirical work, Journal of Finance, 25, 383–417.
   Web of Science ®Google Scholar
• Flanagan, D. J., D’Mello, J. P. and O’Shaughnessy, K. C. (1998) Completing the deal: determinants of successful tender offers, Journal of Applied Business Research, 14, 21–32.
   Google Scholar
• Franks, J. R. and Harris, R. S. (1989) Shareholder wealth effects of corporate takeovers: the UK experience 1955–85, Journal of Financial Economics, 23, 225–49.
   Web of Science ®Google Scholar
• Harford, J. (2005) What drives merger waves?, Journal of Financial Economics, 77, 529–560.
   Web of Science ®Google Scholar
• Herrera, R. and Karmann, A. (2010) Financial contagion from Russia to Latin America: application of extreme value theory, Working Paper, mimeo, TU Dresden.
   Google Scholar
• Herrera, R. and Karmann, A. (2011) New evidence of contagion in the Asian crisis, Working Paper, mimeo, TU Dresden.
   Google Scholar
• Hoffmeister, J. R. and Dyl, E. A.(1981) Predicting outcomes of cash tender offers, Financial Management, 10, 50–58.
   Web of Science ®Google Scholar
• Hutson, E. (2000) Takeover targets and the probability of bid success: evidence from the Australian market, International Review of Financial Analysis, 9, 45–65.
   Google Scholar
• Jabbour, A., Jalilvand, A. and Switzer, J. (2000) Pre-bid price run-ups and insider trading activity: evidence from Canadian acquisitions, International Review of Financial Analysis, 9, 21–43.
   Google Scholar
• Jarrell, G. A. (1985) The wealth effects of litigation by targets: do interests diverge in a merge?, Journal of Law & Economics, 28, 151–77.
   Web of Science ®Google Scholar
• Jennings, R. H. and Mazzeo, M. A. (1993) Competing bids, target management resistance, and the structure of takeover bids, Review of Financial Studies, 6, 883–909.
   Web of Science ®Google Scholar
• Kale, J. R., Kini, O. and Ryan, Jr., H. E. (2003) Financial advisors and shareholder wealth gains in corporate takeovers, Journal of Financial and Quantitative Analysis, 38, 475–501.
   Web of Science ®Google Scholar
• Keown, A. and Pinkerton, J. (1981) Merger announcement and insider trading activity: an empirical investigation, Journal of Finance, 36, 855–869.
   Web of Science ®Google Scholar
• Larcker, D. F. and Lys, T. (1987) An empirical analysis of the incentives to engage in costly information acquisition: the case of risk arbitrage, Journal of Financial Economics,18,111–26.
   Web of Science ®Google Scholar
• Lefanowicz, C. E. and Robinson, J. R. (2000) Multiple bids, management opposition, and the market for corporate control, The Financial Review, 35, 109–22.
   Google Scholar
• Maltritz, D., Buehn, A. and Eichler, S. (2012) Modelling sovereign risk as latent variable: a structural equations model approach, Applied Economics, 44, 4679–88.
   Web of Science ®Google Scholar
• Meulbroek, L. (1992) An empirical analysis of illegal insider trading, Journal of Finance, 47, 1661–99.
   Web of Science ®Google Scholar
• Michel, A. and Shaked, I. (1988) Corporate takeovers: excess returns and the multiple bidding phenomena, Journal of Business Finance and Accounting, 15, 263–73.
   Google Scholar
• Mulherin, J. and Boone, A. (2000) Comparing acquisitions and divestitures, Journal of Corporate Finance, 6, 117–39.
   Google Scholar
• Niden, C. M. (1993) An empirical examination of white knight corporate takeovers: synergy and overbidding, Financial Management, 22, 28–45.
   Web of Science ®Google Scholar
• Noronha, G. M., Sen, N. and Smith, D. M. (1996) Determinants of bidder competition in corporate takeovers, Journal of Economics and Finance, 20, 39–47.
   Google Scholar
• Palepu, K. G. (1986) Predicting takeover targets: a methodological and empirical analysis, Journal of Accounting and Economics, 8, 3–35.
   Web of Science ®Google Scholar
• Powell, R. G. (1997) Modelling takeover likelihood, Journal of Business Finance and Accounting, 24, 1009–1030.
   Google Scholar
• Powell, R. G. (2001) Takeover prediction and portfolio performance: a note, Journal of Business Finance and Accounting, 28, 993–1011.
   Google Scholar
• Powell, R. G. (2004) Takeover prediction models and portfolio strategies: a multinomial approach, Multinational Finance Journal, 8, 35–72.
   Google Scholar
• Samuelson, W. and Rosenthal, L. (1986) Price movements as indicators of tender offer success, Journal of Finance, 41, 481–99.
   Web of Science ®Google Scholar
• Schwert, G. W. (2000) Hostility in takeovers: in the eyes of the beholder, Journal of Finance, 55, 2599–40.
   Web of Science ®Google Scholar
• Simkowitz, M. A. and Monroe, R. J. (1971) A discriminant function for conglomerate targets, Southern Journal of Business, 38, 1–16.
   Google Scholar
• Stevens, D. L. (1973) Financial characteristics of merged firms: a multivariate analysis, Journal of Financial and Quantitative Analysis, 8, 149–58.
   Web of Science ®Google Scholar
• Vasicek, O. A. (1977) An equilibrium characterisation of the term structure, Journal of Financial Economics, 5, 177–88.
   Web of Science ®Google Scholar
• Walking, R. A. (1985) Predicting tender offer success: a logistic analysis, Journal of Financial and Quantitative Analysis, 20, 461–78.
   Web of Science ®Google Scholar