STRUCTURAL CHANGES IN RETURN‐GENERATING MODELS AROUND TENDER OFFERS: A NOTE
研究要约收购公告前后，目标公司和竞标公司收益生成模型参数变化对异常收益的影响，发现使用变参数模型后目标公司异常收益降低、竞标公司异常收益增加，但仍无法推翻目标公司异常收益大而竞标公司异常收益小的常见结论。
This note investigates the role of changes in the parameters of return‐generating models in explaining the pattern of abnormal returns accruing to target and bidding firms around tender‐offer announcements. Employing a varyingparameter modeling approach the study finds lower abnormal returns to target firms and increased abnormal returns to bidding firms, relative to standard approaches. However, use of this approach fails to refute the common findings that mean abnormal returns are large for target firms and negligible for bidding firms.