ANALYSIS OF THE VOLATILITY OF RETURNS IN MERGERS & ACQUISITIONS PROCESSES OF BRAZILIAN COMPANIES: A STUDY WITH HIGH FREQUENCY DATA

• Autor(a) principal: Coelho, Bárbara Cristina Sacramento
• Data de Publicação: 2022
• Outros Autores: Leroy, Felipe Lacerda Diniz, Camargos, Marcos Antônio de
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista Universo Contábil
• Texto Completo: https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8814
• topic: Volatility of Returns; Abnormal Volatility; ARCH models; Intraday Data; Mergers and Acquisitions; Volatilidad de los Retornos; Volatilidad Anormal; Modelos ARCH; Datos intradía; Fusiones y Adquisiciones; Volatilidade dos Retornos; Fusões e Aquisições.; Volatilidade Anormal Média; Modelos ARCH; Dados Intradiários; Fusões e Aquisições

The paper aims to identify whether an announcement of a merger or acquisition (M&A) affects the volatility of the returns of Brazilian companies, considering 35 processes carried out between 2009 and 2017. We used intraday data (high frequency), at 15 minutes intervals, including period pre-opening and after-market of the B3 (Brasil, Bolsa, Balcão). The volatility was estimated using the GARCH and EGARCH models. We made comparisons of abnormal volatility of an M&A using the Wilcoxon test (nonparametric) in five windows, with intraday data before and after each event. We concluded that in 32 of 35 events, there was a difference between average abnormal volatility before and after the announcement, showing that the M&A processes affect returns volatility.. However, we did not find any definite positive or negative trend. In practical terms, the results obtained help companies and investors realize the impact of the announcement of M&As on the volatility of returns by changing the risk level of these processes in order to promote adjustments in expectations and guide investment decision-making. In theoretical terms, when addressing a little-researched subject in the national literature using high-frequency data, this work partially fills the extensive gap in volatility in M&A processes.