Chapter 2 References:

Agarwal, V., Arisoy, Y. E., & Naik, N. Y. (2014). Volatility of aggregate volatility and hedge fund returns. Available at SSRN 2502352.

Amihud, Y., Lev, B., & Travlos, N. G. (1990). Corporate control and the choice of investment financing: The case of corporate acquisitions. Journal of finance, 45(2), 603-616.

Bali, T. G., & Hovakimian, A. (2009). Volatility spreads and expected stock returns. Management Science, 55(11), 1797-1812.

Baltussen, G., Van Bekkum, S., & Van der Grient, B. (2014, October). Unknown unknowns: Uncertainty about risk and stock returns. In AFA 2013 San Diego Meetings Paper.

Barone-Adesi, G., Brown, K. C., & Harlow, W. V. (1994). On the use of implied stock volatilities in the prediction of successful corporate takeovers. Rodney L. White Center for Financial Research.

Barraclough, K., Robinson, D. T., Smith, T., & Whaley, R. E. (2013). Using option prices to infer overpayments and synergies in M&A transactions. Review of Financial Studies, 26(3), 695-722.

Bester, A., Martinez, V. H., & Rosu, I. (2013, October). Cash mergers and the volatility smile. In AFA 2010 Atlanta Meetings Paper.

Betton, S., Eckbo, B. E., & Thorburn, K. S. (2009). Merger negotiations and the toehold puzzle. Journal of Financial Economics, 91(2), 158-178.

Betton, S., Eckbo, B. E., Thompson, R., & Thorburn, K. S. (2014). Merger negotiations with stock market feedback. The Journal of Finance, 69(4), 1705-1745.

Borochin, P. A. (2014). When does a merger create value? Using option prices to elicit market beliefs. Financial Management, 43(2), 445-466.

Borochin, P., & Zhao, Y. (2016). Variation of Implied Volatility and Return Predictability.

Brown, K. C., & Raymond, M. V. (1986). Risk arbitrage and the prediction of successful corporate takeovers. Financial Management, 15(3), 54-63.

Brown, D. T., & Ryngaert, M. D. (1991). The mode of acquisition in takeovers: Taxes and asymmetric information. Journal of Finance, 46(2), 653-669.

Cao, C., Chen, Z., & Griffin, J. M. (2005). Informational content of option volume prior to takeovers. The Journal of Business, 78(3), 1073-1109.

Carleton, W. T., Guilkey, D. K., Harris, R. S., & Stewart, J. F. (1983). An empirical analysis of the role of the medium of exchange in mergers. The Journal of Finance, 38(3), 813-826.

Chan, K., Ge, L., & Lin, T. C. (2013). Informational content of options trading on acquirer announcement return. Journal of Financial and Quantitative Analysis (JFQA), Forthcoming.

Chemmanur, T. J., Paeglis, I., & Simonyan, K. (2009). The medium of exchange in acquisitions: Does the private information of both acquirer and target matter? Journal of Corporate Finance, 15(5), 523-542.

Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.

Dionne, G., La Haye, M., & Bergerès, A. S. (2015). Does asymmetric information affect the premium in mergers and acquisitions?. Canadian Journal of Economics/Revue canadienne d'économique, 48(3), 819-852.

Driessen, J., Maenhout, P., and Vilkov, G., (2009). The price of correlation risk: Evidence from equity options, Journal of Finance, 64(3), 1377-1406.

Eckbo, B. E., Giammarino, R. M., & Heinkel, R. L. (1990). Asymmetric information and the medium of exchange in takeovers: Theory and tests. Review of Financial studies, 3(4), 651-675.

Fishman, M. J. (1989). Preemptive bidding and the role of the medium of exchange in acquisitions. Journal of finance, 44(1), 41-57.

Geppert, G., & Kamerschen, D. R. (2008). The effect of mergers on implied volatility of equity options. International Review of Financial Analysis, 17(2), 330-344.

Hansen, R. G. (1987). A theory for the choice of exchange medium in mergers and acquisitions. Journal of Business, 60(1), 75-95.

Jarrell, G. A., & Poulsen, A. B. (1989). The returns to acquiring firms in tender offers: Evidence from three decades. Financial Management, 18(3), 12-19.

Jayaraman, N., Mandelker, G., & Shastri, K. (1991). Market anticipation of merger activities: an empirical test. Managerial and Decision Economics, 12(6), 439-448.

King, M. R. (2009). Prebid Run-Ups ahead of Canadian takeovers: how big is the problem? Financial Management, 38(4), 699-726.

Levy, H., & Yoder, J. A. (1993). The behavior of option implied standard deviations around merger and acquisition announcements. Financial Review, 28(2), 261-272.

Lin, T. C., Lu, X., & Driessen, J. (2013). Why Do Options Prices Predict Stock Returns? Working Paper.

Luypaert, M., & Caneghem, T. (2017). Exploring the Double‐Sided Effect of Information Asymmetry and Uncertainty in Mergers and Acquisitions. Financial Management.

Martin, K. J. (1996). The method of payment in corporate acquisitions, investment opportunities, and management ownership. Journal of Finance, 51(4), 1227-1246.

Meulbroek, L. K. (1992). An empirical analysis of illegal insider trading. The Journal of Finance, 47(5), 1661-1699.

Moeller, S. B., Schlingemann, F. P., & Stulz, R. M. (2007). How do diversity of opinion and information asymmetry affect acquirer returns? Review of Financial Studies, 20(6), 2047-2078.

Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.

Ordu, U., Schweizer, D. (2015) Executive compensation and informed trading in acquiring firms around merger announcements, Journal of Banking & Finance (2015, Forthcoming)

Schwert, G. W. (1996). Markup pricing in mergers and acquisitions. Journal of Financial economics, 41(2), 153-192.

Siougle, G., Spyrou, S. I., & Tsekrekos, A. E. (2011). Informed trading around merger and acquisition announcements: Evidence from the UK equity and options market. Journal of Futures Markets, 31(8), 703-726.

Subramanian, A. (2004). Option pricing on stocks in mergers and acquisitions. The Journal of Finance, 59(2), 795-829.

Travlos, N. G. (1987). Corporate takeover bids, methods of payment, and bidding firms' stock returns. The Journal of Finance, 42(4), 943-963.

Van Tassel, P. (2014). Merger Options and Risk Arbitrage. Working Paper.

Chapter 3 References:

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns.  Journal of Finance, 61(1), 259-299.

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economics, 91(1), 1-23.

Ang, J. S., & Cheng, Y. (2006). Direct evidence on the market‐driven acquisition theory. Journal of Financial Research, 29(2), 199-216.

Ahern, K. R., & Harford, J. (2014). The importance of industry links in merger waves. Journal of Finance, 69(2), 527-576.

Bali, T. G., & Cakici, N. (2008). Idiosyncratic volatility and the cross section of expected returns. Journal of Financial and Quantitative Analysis, 43(01), 29-58.

Bekaert, G., Hodrick, R. J., & Zhang, X. (2012). Aggregate idiosyncratic volatility. Journal of Financial and Quantitative Analysis, 47(06), 1155-1185.

Betton, S., Eckbo, B.E. & and Thorburn, K.S. ( 2008), “Corporate Takeovers”, in B. Espen Eckbo (ed.), Handbook of Corporate Finance: Empirical Corporate Finance, Volume 2, (Elsevier/North-Holland Handbook of Finance Series), Ch. 15, 291- 430, Blume, M. E., & Stambaugh, R. F. (1983). Biases in computed returns: An application to the size effect. Journal of Financial Economics, 12(3), 387-404.

Boehme, R. D., Danielsen, B. R., Kumar, P., & Sorescu, S. M. (2009). Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). Journal of Financial Markets, 12(3), 438-468.

Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A. (2010). The idiosyncratic volatility puzzle: Time trend or speculative episodes?. Review of Financial Studies, 23(2), 863-899.

Brockman, P., & Schutte, M. (2007). Is idiosyncratic volatility priced? The international evidence. Unpublished working paper. University of Missouri U Columbia.

Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001). Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk.Journal of Finance, 56(1), 1-43.

Chen, Z., & Petkova, R. (2012). Does idiosyncratic volatility proxy for risk exposure?. Review of Financial Studies, 25(9), 2745-2787.

Chua, C. T., Goh, J., & Zhang, Z. (2010). Expected volatility, unexpected volatility, and the cross‐section of stock returns. Journal of Financial Research, 33(2), 103-123.

Cretin, F, Dieudonné, S., and Bouacha, (2014). M&A activity: where are we in the cycle? Electronic copy available at: http://ssrn.com/abstract=2504412

Dong, M., Hirshleifer, D., Richardson, S., & Teoh, S. H. (2006). Does investor misvaluation drive the takeover market?. Journal of Finance, 61(2), 725-762.

Duarte, J., Kamara, A., Siegel, S., & Sun, C. (2014). The systematic risk of idiosyncratic volatility. Available at SSRN 1905731.

Duchin, R., & Schmidt, B. (2013). Riding the merger wave: Uncertainty, reduced monitoring,
and bad acquisitions. Journal of Financial Economics 107, 69-88.

Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33, 3–56. 

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.

Fu, F. (2009). Idiosyncratic risk and the cross-section of expected stock returns. Journal of Financial Economics, 91(1), 24-37.

Gaspar, J. M., & Massa, M. (2006). Idiosyncratic Volatility and Product Market Competition*.  Journal of Business, 79(6), 3125-3152.

Goyal, A., & Santa‐Clara, P. (2003). Idiosyncratic risk matters!. Journal of Finance, 58(3), 975-1007.

Guo, H., & Savickas, R. (2008). Average idiosyncratic volatility in G7 countries. Review of Financial Studies, 21(3), 1259-1296.

Han, Y., & Lesmond, D. (2011). Liquidity biases and the pricing of cross-sectional idiosyncratic volatility. Review of Financial Studies, 24(5), 1590-1629.

Harford, J. (2005). What drives merger waves?. Journal of financial economics, 77(3), 529-560.

Herskovic, B., Kelly, B., Lustig, H., & Van Nieuwerburgh, S. (2015). The common factor in idiosyncratic volatility: Quantitative asset pricing implications. Journal of Financial Economics.

Hou, K., & Loh, R. (2016). Have we solved the idiosyncratic volatility puzzle? Journal of Financial Economics. 121, (1), 167-194.

Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. (2009). Return reversals, idiosyncratic risk, and expected returns. Review of Financial Studies, hhp015.

Irvine, P. J., & Pontiff, J. (2009). Idiosyncratic return volatility, cash flows, and product market competition. Review of Financial Studies, 22(3), 1149-1177.

Jiang, G. J., Xu, D., & Yao, T. (2009). The information content of idiosyncratic volatility. Journal of Financial and Quantitative Analysis, 44(01), 1-28.

Jovanovic, B., & Rousseau, P. L. (2001). Mergers and technological change: 1885-1998. Unpublished working paper, Vanderbilt University.

Jovanovic, B., & Rousseau, P. L. (2002). The Q-theory of mergers (No. w8740). National Bureau of Economic Research.

Lang, L., Stulz, R., Walkling, R., 1989. Managerial performance, Tobin’s q, and the gains from successful tender offers. Journal of Financial Economics 24, 137–154.

Lang, L. H., Stulz, R., & Walkling, R. A. (1991). A test of the free cash flow hypothesis: The case of bidder returns. Journal of Financial Economics,29(2), 315-335.

Maksimovic, V., & Phillips, G. (2001). The market for corporate assets: Who engages in mergers and asset sales and are there efficiency gains?.  Journal of Finance, 56(6), 2019-2065.

Martynova, M., & Renneboog, L. (2008). A century of corporate takeovers: What have we learned and where do we stand?. Journal of Banking & Finance, 32(10), 2148-2177.

Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42(3), 483-510.

Mitchell, M. L., & Mulherin, J. H. (1996). The impact of industry shocks on takeover and restructuring activity. Journal of Financial Economics, 41(2), 193-229.

Rhodes‐Kropf, M., & Viswanathan, S. (2004). Market valuation and merger waves. Journal of Finance, 59(6), 2685-2718.

Rhodes–Kropf, M., Robinson, D. T., & Viswanathan, S. (2005). Valuation waves and merger activity: The empirical evidence. Journal of Financial Economics, 77(3), 561-603.

Servaes, H. (1991). Tobin's Q and the Gains from Takeovers. The Journal of Finance, 46(1), 409-419.

Shleifer, A., & Vishny, R. W. (2003). Stock market driven acquisitions. Journal of Financial Economics, 70(3), 295-311.

Spiegel, M., & Wang, X. (2007). Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk. Unpublished working paper.

Switzer, L. N., & Picard, A. (2015). Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets. Multinational Finance Journal, 19(3), 169-221.

Xu, Y., & Malkiel, B. G. (2003). Investigating the behavior of idiosyncratic volatility*. The Journal of Business, 76(4), 613-645.

Zhang, C. (2010). A reexamination of the causes of time-varying stock return volatilities.

Chapter 4 References:

Ahern, K. R. (2012). Bargaining power and industry dependence in mergers. Journal of Financial Economics, 103(3), 530-550. 

Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2013). Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245-275. 

Avery, C. N., Chevalier, J. A., & Zeckhauser, R. J. (2015). The “CAPS” prediction system and stock market returns. Review of Finance, 20(4), 1363-1381.

Baker, M., Ruback, R. S., & Wurgler, J. (2004). Behavioral corporate finance: A survey (No. w10863). National Bureau of Economic Research. 

Baker, M., & Wurgler, J. (2011). Behavioral corporate finance: An updated survey (No. w17333). National Bureau of Economic Research. 

Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680. 

Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. The Journal of Economic Perspectives, 21(2), 129-151. 

Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104(2), 272-287. 

Baker, M., Pan, X., & Wurgler, J. (2012). The effect of reference point prices on mergers and acquisitions. Journal of Financial Economics, 106(1), 49-71. 

Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.

Bassi, A., Colacito, R., & Fulghieri, P. (2013). ’O sole mio: an experimental analysis of weather and risk attitudes in financial decisions. The Review of Financial Studies, 26(7), 1824-1852. 

Boone, A. L., Lie, E., & Liu, Y. (2014). Time trends and determinants of the method of payment in M&As. Journal of Corporate Finance, 27, 296-304. 

Bradley, M., Desai, A., & Kim, E. H. (1988). Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms. Journal of Financial Economics, 21(1), 3-40. 

Brown, D. T., & Ryngaert, M. D. (1991). The mode of acquisition in takeovers: Taxes and asymmetric information. The Journal of Finance, 46(2), 653-669. 

Chatterjee, S., John, K., & Yan, A. (2011). Takeovers and divergence of investor opinion. The Review of Financial Studies, 25(1), 227-277. 

Chen, H., De, P., Hu, Y., & Hwang, B. H. (2014). Wisdom of crowds: The value of stock opinions transmitted through social media. The Review of Financial Studies, 27(5), 1367-1403.

Cornelli, F., Goldreich, D., & Ljungqvist, A. (2006). Investor sentiment and pre‐IPO markets. The Journal of Finance, 61(3), 1187-1216. 

Da, Z., Engelberg, J., & Gao, P. (2014). The sum of all FEARS investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1-32. 

Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. The Journal of Finance, 53(6), 1839-1885. 

Das, S. R., & Chen, M. Y. (2007). Yahoo! for Amazon: Sentiment extraction from small talk on the web. Management Science, 53(9), 1375-1388. 

Dougal, C., Engelberg, J., Garcia, D., & Parsons, C. A. (2012). Journalists and the stock market. The Review of Financial Studies, 25(3), 639-679. 

Eckbo, B. E., Giammarino, R. M., & Heinkel, R. L. (1990). Asymmetric information and the medium of exchange in takeovers: Theory and tests. The Review of Financial Studies, 3(4), 651-675.

Edmans, A., Garcia, D., & Norli, Ø. (2007). Sports sentiment and stock returns. The Journal of Finance, 62(4), 1967-1998. 

Fishman, M. J. (1989). Preemptive bidding and the role of the medium of exchange in acquisitions. The Journal of Finance, 44(1), 41-57. 

Franks, J., Harris, R., & Titman, S. (1991). The postmerger share-price performance of acquiring firms. Journal of Financial Economics, 29(1), 81-96. 

Fu, F., Lin, L., & Officer, M. S. (2013). Acquisitions driven by stock overvaluation: Are they good deals?. Journal of Financial Economics, 109(1), 24-39. 

Griffin, D., & Tversky, A. (1992). The weighing of evidence and the determinants of confidence. Cognitive Psychology, 24(3), 411-435. 

Hansen, R. G. (1987). A theory for the choice of exchange medium in mergers and acquisitions. Journal of Business, 75-95. 

Hirshleifer, D. (2015). Behavioral finance. Annual Review of Financial Economics, 7, 133-159. 

Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032. 

Hwang, B. H. (2011). Country-specific sentiment and security prices. Journal of Financial Economics, 100(2), 382-401. 

Jensen, M. C., & Ruback, R. S. (1983). The market for corporate control: The scientific evidence. Journal of Financial Economics, 11(1-4), 5-50. 

Keown, A. J., & Pinkerton, J. M. (1981). Merger announcements and insider trading activity: An empirical investigation. The Journal of Finance, 36(4), 855-869. 

Kim, S. H., & Kim, D. (2014). Investor sentiment from internet message postings and the predictability of stock returns. Journal of Economic Behavior & Organization, 107, 708-729.
262

Kim, J. S., Ryu, D., & Seo, S. W. (2014). Investor sentiment and return predictability of disagreement. Journal of Banking & Finance, 42, 166-178. 

Kumar, A., & Lee, C. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486. 

Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19(4), 1499-1529. 

King, M. R. (2009). Prebid Run‐Ups Ahead of Canadian Takeovers: How Big Is the Problem?. Financial Management, 38(4), 699-726. 

Moeller, S. B., Schlingemann, F. P., & Stulz, R. M. (2005). Wealth destruction on a massive scale? A study of acquiring‐firm returns in the recent merger wave. The Journal of Finance, 60(2), 757-782. 

Roger, P. (2014). The 99% market sentiment index. Finance, 35(3), 53-96. 

Roll, R. (1986). The hubris hypothesis of corporate takeovers. Journal of Business, 197-216. 

Rosen, R. J. (2006). Merger momentum and investor sentiment: The stock market reaction to merger announcements. The Journal of Business, 79(2), 987-1017. 

Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394-408. 

Schwert, G. W. (1996). Markup pricing in mergers and acquisitions. Journal of Financial Economics, 41(2), 153-192. 

Shleifer, A., & Vishny, R. W. (2003). Stock market driven acquisitions. Journal of Financial Economics, 70(3), 295-311. 

Siganos, A., Vagenas-Nanos, E., & Verwijmeren, P. (2014). Facebook's daily sentiment and international stock markets. Journal of Economic Behavior & Organization, 107, 730-743. 

Sprenger, T. O., Tumasjan, A., Sandner, P. G., & Welpe, I. M. (2014). Tweets and trades: The information content of stock microblogs. European Financial Management, 20(5), 926-957. 

Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288-302. 

Sun, L., Najand, M., & Shen, J. (2016). Stock return predictability and investor sentiment: A high-frequency perspective. Journal of Banking & Finance, 73, 147-164. 

Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62(3), 1139-1168. 

Travlos, N. G. (1987). Corporate takeover bids, methods of payment, and bidding firms' stock returns. The Journal of Finance, 42(4), 943-963. 

Tsai, I. C. (2017). Diffusion of optimistic and pessimistic investor sentiment: An empirical study of an emerging market. International Review of Economics & Finance, 47, 22-34.

Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean–variance relation. Journal of Financial Economics, 100(2), 367-381.