Research Seminar «Empirical Research in Corporate Finance»

27/03/2023 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Fokina Ella, PhD, Senior  Lecturer of the School of Finance

Theme : Discovering Efficient Investment Strategies Using M&A Prediction Model and Returns Analysis

Abstract : This paper is devoted to discovering investment strategies based on predicted M&A deals using logistic model of financial and non-financial indicators of public companies. Using a random sample of 1510 acquired and non-acquired companies located in Germany, United Kingdom, France, Sweden, and Russia for the period of 2000-2021, the M&A logit prediction model with high predictive power was designed. An implementation of interaction concept allowed to significantly improve power of the model predictions compared to similar models found in literature. Next, an ability of the model to generate abnormal returns is tested with an event study using share price data for a period of 2011-2021. We observed that M&A prediction model also can efficiently generate abnormal returns for a portfolio (up to 49% on average) of companies expected to be acquired. Theoretical and empirical results allow us to design investment strategies that can be used by either private or institutional investors.

Working language: English.

Zoom Link: https://zoom.us/j/99728619765?pwd=ZmpDek13bTVwNU5ickVwZ3ZRV1lpZz09

Conference ID: 997 2861 9765

Access Code: 267766