Assessment of Market Efficiency in Argentina, Brazil and Chile: an Event Study of Mergers and Acquisitions
| Autor | Mario Domingues Simões - T. Diana L. van Aduard de Macedo-Soares - Marcelo Cabus Klotzle - Antonio Carlos Figueiredo Pinto |
| Cargo | Pontifícia Universidade Católica do Rio de Janeiro, IAG/PUC-Rio, Rio de Janeiro, RJ, Brazil - Pontifícia Universidade Católica do Rio de Janeiro, IAG/PUC-Rio, Rio de Janeiro, RJ, Brazil - Pontifícia Universidade Católica do Rio de Janeiro, IAG/PUC-Rio, Rio de Janeiro, RJ, Brazil - Pontifícia Universidade Católica do Rio de Janeiro, IAG/PUC-Rio,... |
Available online at
http://www.anpad.org.br/bar
BAR, Rio de Janeiro, v. 9, n. 2, art. 6,
pp. 229-245, Apr./June 2012
Assessment of Market Efficiency in Argentina, Brazil and Chile:
an Event Study of Mergers and Acquisitions
Mario Domingues Simões *
E-mail address: msimoes@alum.mit.edu
Pontifícia Universidade Católica do Rio de Janeiro – IAG/PUC-Rio
Rio de Janeiro, RJ, Brazil.
T. Diana L. van Aduard de Macedo-Soares
E-mail address: tdiana.vanaduardmacedosoares@gmail.com
Pontifícia Universidade Católica do Rio de Janeiro – IAG/PUC-Rio
Rio de Janeiro, RJ, Brazil.
Marcelo Cabus Klotzle
E-mail address: klotzle@iag.puc-rio.br
Pontifícia Universidade Católica do Rio de Janeiro – IAG/PUC-Rio
Rio de Janeiro, RJ, Brazil.
Antonio Carlos Figueiredo Pinto
E-mail address: figueiredo@iag.puc-rio.br
Pontifícia Universidade Católica do Rio de Janeiro – IAG/PUC-Rio
Rio de Janeiro, RJ, Brazil.
* Corresponding author: Mario Domingues Simões
Rua Visconde de Pirajá, 220/701, Rio de Janeiro, RJ, 22410-000, Brazil.
Copyright © 2012 Brazilian Administration Review. All rights reserved, including rights for
translation. Parts of this work may be quoted without prior knowledge on the condition that
the source is identified.
M. D. Simões, T. D. L. van A. de Macedo-Soares, M. C. Klotzle, A. C. F. Pinto 230
BAR, Rio de Janeiro, v. 9, n. 2, art.6, p. 229-245, Apr./June 2012 www.anpad.org.br/bar
Abstract
This paper presents an investigation into the relationship between the announcement of mergers and acquisitions,
the existence of positive abnormal r eturns for shares of th ese firms, and market efficiency in Argentina, Brazil
and Chile. Statistically significant Standardized Abnormal Returns were present in the event announcement and
the following days in Argentina and Chile and on the event day in Brazil, confirming value creation signaling.
Furthermore, the significance of abnormal returns in the event window, namely in the 5 days following the event
in Argentina and Chile and the absence of such in Brazil suggests a more efficient market exists in Brazil, in
keeping with the semi-strong market efficiency hypothesis. The absence of semi-strong efficient market behavior
could prove valuable to investors who could use a window of a few days after the event announcement to
accumulate abnormal returns, provided the appropriate research in to news of possible mergers or acquisitions
has been made.
Key words: market efficiency; mergers and acquisitions; value creation; abnormal returns; event study.
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