Are There Waves in Merger Activity after All?
Socioeconomic Institute Working Paper No. 0414
31 Pages Posted: 8 Feb 2006
Date Written: February 2006
This paper investigates the merger wave hypothesis for the US and the UK employing a Markov regime switching model. Using quarterly data covering the last thirty years, for the US, we identify the beginning of a merger wave in the mid 1990s but not the much-discussed 1980s merger wave. We argue that the latter finding can be ascribed to the refined methods of inference offered by the Gibbs sampling approach. As opposed to the US, mergers in the UK exhibit multiple waves, with activity surging in the early 1970s and the late 1980s.
Keywords: Merger Waves, Markov Regime Switching Regression Model, Gibbs Sampling
JEL Classification: G34, C32, C11, C15
Suggested Citation: Suggested Citation