株式会社極東書店トップ＞商品一覧＞ 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.

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Name: 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.
Price: 19985 JPY
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Author: Raudszus, Malte Helmut
ISBN: 978-3-631-62249-0

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. 財務収益のリスクと株主の富への影響

・ISBN 978-3-631-62249-0 hard SFR 69.35

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著者・編者	Raudszus, Malte Helmut,
シリーズ	Corporate Finance and Governance
出版社	(P. Lang, SZ)
出版年月	2012
ページ数	xxvi, 183 pp.
言語	ENG
ニュース番号	＜599-616＞

解説

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.