In a merger, a stockholder often has a statutory right of dissent and appraisal under which the stockholder may demand to be paid fair value exclusive of any gain or loss that may arise from the merger itself. Most courts and commentators agree that a dissenting stockholder should ordinarily...

We use bivariate ARCH specifications to model the conditional mean and stock price volatilityfor 56 takeover bids from January 1985 and July 1994. Using daily data from one year prior to thetakeover announcement until the conclusion of the bid, we allow for two-way interaction in bothmoments...