A Note on Credit Derivatives and M&A Transactions: Announcement and Anticipation Effects

Corporate Ownership & Control, Volume 13, Issue 2, Winter 2016, Continued 1, 272–279

Posted: 24 Jan 2016 Last revised: 21 Dec 2017

See all articles by Margit Hraschek

Margit Hraschek

Bank Austria Creditanstalt

Mark Mietzner

Leipzig University of Applied Sciences - HTWK Leipzig

Marcel Tyrell

Zeppelin University

Date Written: January 23, 2016

Abstract

This paper analyses CDS and equity markets dynamics of acquiring companies, to explore whether those parties that are involved in M&A transactions are using their access to privileged bank information for private benefits. We find different effects on the CDS and equity markets, primarily because the range of participants on these markets and their regulatory frameworks differ. Our results suggest a stronger anticipation effect and therefore more trading on private information on the CDS market. We posit that this is attributable to its characteristics as an OTC market, and the lack of transparency. Moreover, the results of our multivariate analysis are consistent with the view that certain M&A transactions are especially vulnerable to information leakage in CDS markets.

Keywords: mergers & acquisitions, credit default swaps, anticipation effects

JEL Classification: G14, G34, D82

Suggested Citation

Hraschek, Margit and Mietzner, Mark and Tyrell, Marcel, A Note on Credit Derivatives and M&A Transactions: Announcement and Anticipation Effects (January 23, 2016). Corporate Ownership & Control, Volume 13, Issue 2, Winter 2016, Continued 1, 272–279, Available at SSRN: https://ssrn.com/abstract=2720895

Margit Hraschek

Bank Austria Creditanstalt ( email )

Vienna
Austria

Mark Mietzner (Contact Author)

Leipzig University of Applied Sciences - HTWK Leipzig ( email )

Leipzig
Germany

Marcel Tyrell

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045
Germany

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