Table 5

Table 5
Multiple regressions of markups (cumulative abnormal returns for the target firm) measured over various spans of trading days after the first bid (day 0) on a constant and the runups (cumulative abnormal returns) measured over nine periods before the first bid. Perfect substitution between the pre-bid runup and the post-bid markup would show as a coefficient of -1. White's (1980) heteroskedasticity-consistent standard errors are in parentheses below the coefficient estimates. Rsquared is the adjusted coefficient of determination and S(u) is the standard error of the regression. The sample includes 1,523 NYSE- and AMEX-listed target firms that received takeover bids in the 1975-91 period. It excludes deals that took longer than one year to consummate and target firms whose equity value is small (below $10 million) or whose pre-runup stock price is low (below $2 per share).
Runup Period (Independent Variables)	Markup Measurement Period (Dependent Variable)
	0	1	(2,5)	(6,10)	(11,21)	(22,42)	(43,63)	(64,84)	(85,105)	(106,126)	(0,126)
1	0.218*	0.054*	0.010	0.054*	0.010	0.026	0.081*	0.005	0.021	0.049*	0.246*
	-0.037	-0.014	-0.019	-0.020	-0.023	-0.035	-0.029	-0.026	-0.030	-0.021	-0.088
(2,5)	0.201*	0.011	0.020	0.012	0.026	0.086*	0.057*	0.030	0.029	0.016	0.030
	-0.037	-0.015	-0.019	-0.020	-0.023	-0.028	-0.027	-0.027	-0.034	-0.022	-0.098
(6,10)	0.083	0.000	0.040	0.028	0.031	0.026	0.022	0.048	0.028	0.012	0.050
	-0.051	-0.02	-0.029	-0.020	-0.029	-0.051	-0.039	-0.057	-0.040	-0.030	-0.153
(11,21)	0.090*	0.000	0.003	0.036*	0.027	0.081*	0.061	0.019	0.035	0.011	0.120
	-0.037	-0.018	-0.023	-0.016	-0.024	-0.037	-0.031	-0.033	-0.035	-0.021	-0.100
(22,42)	0.097*	0.016	0.009	0.003	0.049*	0.022	0.066*	0.035	0.015	0.060*	0.146*
	-0.025	-0.012	-0.020	-0.011	-0.015	-0.024	-0.023	-0.022	-0.023	-0.016	-0.065
(43,63)	0.081*	0.018	0.006	0.018	0.004	0.108*	0.067*	0.026	0.063*	0.005	0.176*
	-0.029	-0.012	-0.012	-0.015	-0.021	-0.024	-0.021	-0.02	-0.026	-0.020	-0.072
(64,84)	0.000	0.011	0.015	0.005	0.018	0.055	0.021	0.058*	0.016	0.011	0.150
	-0.029	-0.015	-0.014	-0.015	-0.020	-0.029	-0.024	-0.021	-0.024	-0.016	-0.076
(85,105)	0.051	0.010	0.025	0.025	0.046*	0.073*	0.047	0.087*	0.048	0.031	0.321*
	-0.032	-0.011	-0.014	-0.013	-0.021	-0.026	-0.029	-0.027	-0.034	-0.017	-0.079
(106,126)	0.025	0.015	0.008	0.022	0.027	0.018	0.076*	0.015	0.085*	0.057*	0.318*
	-0.031	-0.019	-0.012	-0.014	-0.020	-0.029	-0.023	-0.028	-0.022	-0.016	-0.073
Rsquared	0.049	0.003	0.002	0.012	0.012	0.038	0.038	0.021	0.021	0.020	0.046
S(u)	0.124	0.056	0.057	0.055	0.074	0.098	0.091	0.085	0.0900	0.070	0.289
Note: Coefficient estimates that are more than two standard errors from zero are shown with an asterisk *.

Table 5

Note: Coefficient estimates that are more than two standard errors from zero are shown with an asterisk *.

© Copyright 1996, G. William Schwert Return to Markup Pricing Page

© Copyright 1996, G. William Schwert
Return to Markup Pricing Page