Insights from firm-size analysis using the market model in mergers and acquisitions / Jianyu Ma, Yun Chu.

Format:

Book

Author/Creator:

Ma, Jianyu, author.

Chu, Yun, author.

Language:

English

Subjects (All):

Consolidation and merger of corporations--Asia.

Consolidation and merger of corporations.

Physical Description:

1 online resource

Place of Publication:

London : SAGE Publications Ltd, 2026.

Summary:

This case study is based on original empirical research conducted by the authors using a dataset of mergers and acquisitions (M&As) from Asian emerging markets. We address several methodological and practical challenges related to the emerging and developing markets, including model specification risk, robustness to outliers, measurement of firm size, and cross-country heterogeneity. The case study is beneficial for academic researchers conducting event studies in these markets, as well as for graduate students in finance or econometrics who are learning about model specification, robustness, and empirical research design. This case study teaches readers how to apply the market model and adapt quantitative methods to diverse, underrepresented financial contexts. It highlights the value of model robustness by showing how techniques such as bootstrapping and quantile regression can provide more reliable estimates than Ordinary Least Squares (OLS) in the presence of nonnormal error distributions; the study demonstrates the importance of tailoring research methods to the distinct challenges of emerging markets, particularly when applying Western models to non-Western contexts. Readers can apply these insights by replicating or extending the study in new settings, using bootstrapped regressions in event studies to address heteroscedasticity and nonnormality, and designing portfolios that give greater weight to firm size, primarily when focusing on small-cap or emerging-market investments.

Notes:

Description based on XML content.

ISBN:

9781036249298

OCLC:

1594889660

Publisher Number:

T302122