Abstract

This paper focuses on the effect of mergers and acquisitions (M&As) announcements on the stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormal returns (CAR) and impacts on event-induced variance (EIV). We use the GARCH-based event-study method, finding that acquirers and target banks have a statistically significant CAR and that their rivals and targets are not affected by M&A announcements. We observe that EIV is negative for acquirers, targets, and rivals. Finally, in a robustness exercise, we estimate a multivariate GARCH model, finding that the results remain qualitatively equal.

摘要

本文重点研究了 2000 年至 2019 年间并购（M&A）公告对拉美银行及其竞争对手股票的影响。我们评估了并购公告的两个影响：对累积异常收益（CAR）的影响和对事件的影响——诱导方差（EIV）。我们使用基于 GARCH 的事件研究方法，发现收购方和目标银行具有统计上显着的 CAR，并且他们的竞争对手和目标不受并购公告的影响。我们观察到 EIV 对收购者、目标和竞争对手都是负面的。最后，在稳健性练习中，我们估计了一个多元 GARCH 模型，发现结果在质量上保持不变。