Mergers and acquisitions: evidence on post-announcements performance from CEE stock markets

Abstract

The aim of this paper is to provide fresh-out of sample evidence on short-term and long-term performance following announcement of mergers and acquisitions. The research is based on 109 M&A deals in Central and Eastern European countries for years 2001-2014. For the short-horizon event studies, we use ACAR approach, and measure abnormal returns with zero, index and market models. For the long-run studies, we build equally and value weighted calendar portfolios and test their performances with CAPM, three-factor and four-factor models. We document positive and significant short-term abnormal returns on acquiring and target companies in the first weeks following the transaction announcement. Second, we find long-run non-significant negative abnormal returns of acquiring companies.