This paper investigates how the announcement of acquisitions affect the uncertainty that financial markets perceive about acquiring firms. We use data for publicly-listed firms in the UK between 2004 and 2017 and employ a matching estimator combined with difference-in-differences to address the endogenous selection of firms into acquisitions. While acquisition announcements do not result in a significant change in the volatility of stock returns of acquiring firms across our whole sample, this result hides substantial heterogeneity. Our main finding is that the impact of acquisitions on uncertainty is crucially shaped by a deal's geographic scope—i.e. whether the takeover involves a target in the same country or abroad. Domestic deals reduce the volatility of acquirers' returns by 5% on average one quarter after the announcement, while acquiring a foreign firm increases volatility by a similar magnitude. The heightened volatility resulting from cross-border transactions is primarily driven by acquisitions in industries characterized by high investment irreversibility and foreign markets where barriers to investment are higher. Conversely, the volatility reduction following domestic acquisitions is more pronounced in industries with low irreversibility. Additionally, characteristics of the deal itself, such as the relative size of the acquisition, the payment method, and whether the deal achieves majority control of the target, also play an important role in mediating the effect of acquisitions on volatility.

本文研究了收购公告如何影响金融市场对收购公司的不确定性。我们使用 2004 年至 2017 年间英国上市公司的数据，并采用匹配估计器和双重差分法来解决企业收购的内生选择问题。虽然收购公告不会导致我们整个样本中收购公司股票回报波动性的显着变化，但这一结果隐藏了巨大的异质性。我们的主要发现是，收购对不确定性的影响在很大程度上取决于交易的地理范围，即收购是否涉及同一国家或国外的目标。国内交易在公告发布后一个季度平均将收购方回报的波动性降低了 5%，而收购外国公司则增加了类似程度的波动性。跨境交易波动加剧的主要原因是投资不可逆转性较高的行业以及投资壁垒较高的国外市场的收购。相反，国内收购后波动性的降低在不可逆转性较低的行业中更为明显。此外，交易本身的特征，例如收购的相对规模、支付方式以及交易是否实现了对目标公司的多数控制，也在调节收购对波动性的影响中发挥着重要作用。