Vliv a dopad přeshraničních fúzí a akvizic na kapitálové trhy – rozvojové ekonomiky

The aim of this dissertation is to analyze the impact of cross-border merger and acquisition announcements on shareholders wealth from TIMPSCE countries with a focus on capital market integration. Data are from the period 2000-2010 and the analysis is performed using the Event study methodology. Event study methodology was used to test abnormal returns, and three different statistical tests were calculated to test the significance of the results. To calculate expected returns for CAR in the short and long term, the market model was applied. Whereas, a matching firm was used as a benchmark model for calculating expected returns in BHAR, This approach better eliminates new listing, rebalancing, and skewness biases in long run. The test statistics were calculated as the standard t-test and the modified t-test for biases. To achieve the third objective, namely to determine which factors (determinants) may affect CAR in the short term, regression analysis has been applied. Within the regression analysis, collinearity and heteroscedasticity were tested. The results showed that cross-border mergers and acquisitions announcements have a positive impact on the shareholder´s wealth of acquiring firms for few days after the announcement of the event. AAR is statistically positive for the first, second, fourth and fifth day after the announcement and CAAR is statistically positive for the interval (0, +1), (0, +2) and (0, + 5) days after the event notification. In the long run, using BHAR, the results clearly show that cross-border mergers and acquisitions have a significant negative impact on shares of acquiring firms in the post-acquisition period of up to three years after completion of the transaction, especially for 24 to 36 months after completion of the transaction. Overall, looking at the abnormal returns after the acquisition, we can say that the acquisitions don´t create value in after-acquisition period. This may indicates that the process of mergers and acquisitions would take several years or longer period for investors to notice gains in operational synergies. It could therefore be interesting to extend the period to five years. Regression analysis was performed within the event window (0, +5) days of announcement of the event to determine whether any factors affecting abnormal returns of acquiring companies. Results of regression analysis show no significant impacts on abnormal returns acquiring companies. In other words, the regression analysis failed to prove that analysing determinants have a significant positive or negative impact on CAR.