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Time series explanations of merger activity: some econometric results
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Time series explanations of merger activity: some econometric results (1995)Time series explanations of merger activi…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…COINTEGRATION AND DYNAMIC TIME SERIES MODELS (1992)COINTEGRATION AND DYNAMIC TIM…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…SEASONALITY AND THE ORDER OF INTEGRATION FOR CONSUMPTION* (1988)SEASONALITY AND THE ORDER OF …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A Time Series Analysis of Aggregate Merger Activity (1983)A Time Series Analysis of Agg…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables (1978)Testing for Higher Order Seri…Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Testing Against General Autor…Concentration in Modern Industry (1977)Concentration in Modern Indus…Asset Markets and the Cost of Capital (1976)Asset Markets and the Cost of…An Economic Disturbance Theory of Mergers (1969)An Economic Disturbance Theor…A Theory of Conglomerate Mergers (1969)A Theory of Conglomerate Merg…The Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…Manufacturing Business (1950)Manufacturing BusinessDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)A Cross-Country Comparison of Okun's Coefficient (1997)GOLD AS AN INFLATION HEDGE? (2004)Strategic Leniency and Cartel Enforcement (2009)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Life Cycle Theory of the Firm (1972)Value creation in acquisitions: A re‐examination of performance issues (1990)Earnings management and the market performance of acquiring firms (2004)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Generalized autoregressive conditional heteroskedasticity (1986)Review of international tourism demand models (1997)Strategic momentum: The effects of repetitive, positional, and contextual momentum on merger activity (1992)General Purpose Technologies (2005)A century of corporate takeovers: What have we learned and where do we stand? (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables1,468 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1978Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables786 cited
  • 1969An Economic Disturbance Theory of Mergers607 cited
  • 1969A Theory of Conglomerate Mergers510 cited
  • 1976Asset Markets and the Cost of Capital347 cited
  • 1988SEASONALITY AND THE ORDER OF INTEGRATION FOR CONSUMPTION*299 cited
  • 1977Concentration in Modern Industry292 cited
  • 1983A Time Series Analysis of Aggregate Merger Activity157 cited
  • 1950Manufacturing Business

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149 cited
  • 1992COINTEGRATION AND DYNAMIC TIME SERIES MODELS145 cited
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