Journal of Applied Finance & Banking

Rumor Mill and Merger Waves: Analysis of Aggregate Market Activity

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• Abstract

   

  I examine timing of takeover rumors relative to merger waves. Peaks and troughs of rumor activity coincide with changes in the volume of takeovers. At aggregate market level, rumors should be viewed as coincident indicator of merger activity. Consequently, change in the number of rumors coupled with corresponding change in the merger volume can be interpreted as reversal in the direction of merger wave.

   

  JEL classification numbers: G14, G34

  Keywords: rumors, merger waves, timing, market efficiency.