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Abnormal returns to rivals of acquisition targets: A test of the &acquisition probability hypothesis' Abstract We develop and test the Acquisition Probability Hypothesis, which asserts that rivals of initial acquisition targets earn abnormal returns because of the increased probability that they will be targets themselves. On average, rival "rms earn(More)
  • Matthew T Billett, Jon A Garfinkel, Tim Burch, Pat Fishe, Mark Flannery, Tom George +14 others
  • 2004
This paper models a bank with access to two segmented capital markets, the market for insured deposits and the market for uninsured claims. We illustrate how higher costs of accessing either market leads to lower firm values and a greater incentive to carry liquid assets. We test our model on a sample of large banking firms, and label banks with relatively(More)
We introduce a discrete time no-arbitrage model with observable covariates, which allows for a closed form solution for the value of credit default swaps (CDS). The default intensity is speci…ed as a quadratic function of the covariates, ensuring that the intensity function is always positive. The model yields economically plausible results in terms of …t,(More)
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