We estimate how an acquiring firm’s risk changes depending on whether the market initially judges the acquisition to be neutral, strongly negative, or strongly positive for the shareholders of the acquiring firm. We find that for an average neutral acquisition, the annualized standard...

This paper presents results based on new data showing that the relationships involving investors' judgments of risk and variables such as beta, size, and book-to-market equity (B/M) have the same directional effects as those involving realized returns. Moreover, the relationships involving risk...

We estimate how an acquiring firm's risk changes depending on whether the market initially judges the acquisition to be neutral, strongly negative, or strongly positive for the shareholders of the acquiring firm. We found that for an average neutral acquisition, the annualized standard deviation...