Winner's Curse in Acquisitions (Academic Paper)

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McNair Project
Winner's Curse in Acquisitions (Academic Paper)
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Three Big Pulls

SDC Mergers & Acquisitions

Session Details
---------------
Request   Hits    Request Description
   0        -     DATABASES: Domestic Mergers, 1979-Present (MA, OMA)
   1        -     Date Announced: 1/1/1985 to 10/11/2016 (Custom) (Calendar)
   2    300351    Target Nation : US
   3    257921    Acquiror Nation : US
   4    127852    Acquiror Public Status : P
   5     98102    Target Public Status : V, P
   6     63725    Deal Status : C
   7     52739    Percent of Shares Owned after Transaction: 100 to 100
   8              Custom Report: SDC_MA_Oct10v2 (Columnar) - Save As:
                  E:\McNair\Projects\Winner's Curse\Data\SDC_MA_Oct10v2.txt

  Billing Ref # : 1960756
  Capture File  : riceuniv.1960756
  Session Name  : SDC_MA_Oct10v2.ssh
Variables Pulled:
-----------------
Date Announced
Date Effective
Target Name 
Target Industry Sector 
Target Nation
Acquiror Name 
Acquiror Industry Sector 
Acquiror Nation
Pc of Shares Acq
Pc Owned After Transaction
Value of Transaction mil
Enterprise Value mil
Equity Value mil
Acquiror CUSIP
Acquiror Immediate Parent CUSIP
Acquiror Ultimate Parent CUSIP
Target Immediate Parent CUSIP
Target Ultimate Parent CUSIP
Target CUSIP
Acquiror Primary Ticker Symbol
Acquiror Ultimate Parent Primary Ticker Symbol
Target Primary Ticker Symbol
Target Ultimate Parent Primary Ticker Symbol
Target Ultimate Parent Ticker Symbol
Acquiror Primary NAIC Code
Acquiror Ultimate Parent Primary NAIC Code
Target Primary NAIC Code
Target s Ultimate Parent Primary NAIC Code
Number of Bidders
Status 
Value Est 
Value Amended Flag
Date Announced is Estimated
Consideration Structure
Number of Considerations Offered
Number of Considerations Sought
Consid Structure Description
Pc of Cash
Pc of Other
Pc of Stock
Pc of Unknown
Acquiror Full Name 
Target Name 
Acquiror City 
Target City 
Acquiror Zip Code
Target Zip Code
Acquiror State
Target State
Deal Currency Code
Target Bankrupt
Challenged Deal
Debt Restructuring
RecapDefense  
Government Owned Involvement Flag
Joint Venture
Restructuring
Acquiror is a Leveraged Buyout Firm
LBO 
IPO FlagY N 
Target is a Leveraged Buyout Firm
Merger of Equals
Reverse Takeover
Deal Began as a Rumor
Acquiror is a White Knight
White Knight Defense
Back End Defense
FlipOver Defense
Voting Plan Defense
Poison Pill
Creeping Acquisition
Repurchase Defense
Pacman Defense
Lockup FlagY N 
Target Lockup
Greenmail
Asset Lockup
Scorched Earth Defense
SelfTender Defense
Stock Lockup
Defense
White Squire
Acquiror Includes Employees
Acquiror Includes an ESOP
Significant Family Ownership of Target
Acquiror Lockup
Financial Acquiror
2 Step Spinoff
Acquiror Includes Mgmt
Open Market Purchases
Proxy Fight
Purpose Code
Related Deals
Foreign Provider of Funds
Stock Swap
Asset Swap Flag
Sweep the Street
SelfTender
Tender Offer
Unsolicited
Acquiror TermFee 
Target TermFee 
Forced vote provisions FlagY N
Walkaway
Acquiror Ultimate Parent Street Address 1
Acquiror Ultimate Parent Street Address 2
Target Ultimate Parent Street Address 1
Target Ultimate Parent Street Address 2
Acquiror Primary Stock ExchangeName
Target Primary Stock ExchangeName

COMPUSTAT

Use Compustat Industrial Annual (annual data)

Criteria:
-----------------
1970-1 to 2015-11
GVKEY, Entire Dbase
tab delimited, date in ISO8661
Variables:
----------
GVKEY
CONM
TIC
CUSIP
EXCHG
FYR
CURNCD
FYEAR
AT
CEQ
INTAN
EBITDA
REVT
SALE
NAICSH
SICH
MKVALT
PRCC_F
C
INDL
FS
STD

Note: TobinsQ is Market over book so MKVALT/AT (also pulled common stock and price)

CRSP

Use CRSP Annual, Daily Stock File

Criteria:
-----------------
PERMNO, Entire Dbase
1980-01-01 to 2015-12-31
tab delimited, date in ISO8661
Variables:
----------
PERMNO
CUSIP
NCUSIP
COMNAM
TICKER
PERMCO
EXCHCD
SICCD
NAICS
PRIMEXCH
PRC
VOL
NUMTRD
RET
SHROUT
VWRETD
EWRETD


Governance Measures

Projects --> Winner's Curse --> Data

Open the GovernanceVARS.txt

These are

  • staggered boards
  • limits to shareholder bylaw amendments
  • limits to shareholder charter amendments
  • supermajority requirements for mergers
  • poison pills
  • golden parachutes

To do list

  • Including public acquisitions
  • Find SIC codes for the old data, also for the public firms that are now included.
  • Data from SDC
    • Social criteria acquisitions announcement dates 1985 - present
    • Acquirer publicly traded ( must be AMEX, NASDAQ, or NYSE)
    • Target status is public or private
    • Acquirer and target are U.S. firms.
    • Acq of 100 percent of the firm and Acq. completed
    • GVKEY
  • Variable list for SDC
    • CUSIP
    • Exchange and ticker
    • Company name
    • Acq transaction value
    • Acq announcement date
    • Number of bidders
    • NAICS codes for target and Acq.
    • Addresses
    • T
  • Variables for CRISP(daily)
    • Stock price
    • Returns
  • Variable for COMPUSTAT ( Everything 1980 to present)
    • Acq market value of assets
    • NAICS codes
    • Sales
    • GVKEY
    • intangible assets
    • TOBIN's Q


Magic with CUSIPs : CUSIP is a nine digit number (possibly ten, ) Seven issuer, two issue, one check CRSP processing notes: estimation window 250 days ending 30 days before the Acq. must be at least 50 continuous days before the 30 days window. See page 9 of the paper for data processing notes. FROM

http://www.edegan.com/repository/DD-ThomsonSDCMA.txt

Governance Variables

A list of governance variables can be found in: E:\McNair\Projects\Winner's Curse\Data\GovernanceVARS

Paper Discussion

Variables & Where to Find Them:

Variable Location
Actual Return CRSP
Abnormal Return CRSP
Average Return CRSP
Weighted Average Return CRSP
Cumulative Ab. Return CRSP
Boom SDC
Competition Compustat
Distance SDC + google maps
IT Fixed Effect SDC
Idiosyncratic Volatility CRSP (Calculated)
Industry Fixed Effect SDC
Momentum CRSP (Calculated)
Private Financial Data CRSP
Percent Cash SDC
Previous Acquisitions SDC
Sales Compustat
Tobin's Q Compustat
Turnover CRSP
VC Fixed Event SDC & VentureXpert
Governance Compustat
Friendly vs. Hostile SDC

Importing the CRISP data into the `winner' database (Amir)

Data file is located in: E:\McNair\Projects\Winner's Curse\Data\CRSP-Oct10-c30cc89e52b70545-1.txt

Issue 1: The text file is 8 GB large and there's no way to open it in Textpad. I'll try to read the file in LogExpert which seems to do a neat job in in opening large files. Otherwise, I'll try to read the first few lines in the terminal. Update: I managed to open the file in LogExpert. However, extremely inefficient to scroll over the file.

I copied the file to Z:\WinnersCurse\CRSP-oct10

Entered the following command in the terminal to read the header: head -1 CRSP-oct10.txt

List of variables in the CRSP-oct10.txt

  • PERMNO
  • date
  • EXCHCD
  • SICCD

NCUSIP TICKER COMNAM NAICS PRIMEXCH PERMCO CUSIP PRC VOL RET SHR OUT NUMTRD vwretdPE ewretd


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