Winner's Curse in Acquisitions (Academic Paper)
| Winner's Curse in Acquisitions (Academic Paper) | |
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| Project Information | |
| Project Title | |
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| Copyright © 2016 edegan.com. All Rights Reserved. | |
Contents
Three Big Pulls
SDC Mergers & Acquisitions
Add the following (A=L+E):
TargetTotalAssets real, TASS: Taget Financials: Total Assets TargetTotalLiabilities real, TLIA: Total Liabilities Last Twelve Months ($ Mil) TargetCommonEquity real, COMEQ: Target Financials: Common Equity
Also nice:
TargetNetSales real, SALES: Net Sales Last Twelve Months ($ Mil) TargetNetSales2 real, ? TargetBookValuePerShare real, BV: Book Value per Share Last Twelve Months ($) TargetIntangibles real, IASS: Intangible Assets Last Twelve Months TargetRAndD real, RND1: Research & Development Expense 1 Year Prior ($ Mil)
Added just in case:
Sales Net Assets Book Value (Perhaps needed for Tobin's Q?)
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
Processing the SDC data:
- Find SIC codes concordance to get NAICS for old data
- Acquirer publicly traded ( must be AMEX, NASDAQ, or NYSE)
- 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.
- Returns and prices may contain codes. Import as var_char and reprocess?
Other notes:
- See page 9 of the paper for data processing notes.
- Data dictionary for SDC MA: 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 CRSP data into the `winner' database (Amir)
Two important files: Project --> Winner's Curse --> Data --> SQL --> CRSP_NOTES Project --> Winner's Curse --> Data --> SQL --> CRSP_CODES
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
CREATE TABLE CRSP ( PermNo int, date date, EXcode int, SIC int, NCUSIP varchar(10), Ticker varchar(10), Name varchar(100), NAICS int, PrimEx varchar(1), PERMCO int, CUSIP varchar(12), Price real, VOL int, RET real, ShOut int, trade int, EQRET real, VRET real );
We have unexpected data types in few columns. We'll first start by copying data into a table named CRSPtmp with varchar type for most of the fields.
CREATE TABLE CRSPtmp ( PermNo varchar(10), date date, EXcode varchar(10), SIC varchar(10), NCUSIP varchar(10), Ticker varchar(10), Name varchar(100), NAICS varchar(10), PrimEx varchar(1), PERMCO varchar(10), CUSIP varchar(12), Price varchar(15), VOL varchar(10), RET varchar(10), ShOut varchar(10), trade varchar(10), EQRET varchar(10), VRET varchar(10) ); \COPY crsptmp FROM '/bulk/WinnersCurse/CRSP-oct10.txt' WITH DELIMITER AS E'\t' HEADER NULL AS CSV -- COPY 64614281
CRSP2 Variable Issues (Jake)
permno- date- excode - sic - letter "Z", value 711 (most are 4 digits), ncusip - ticker - name - naics - primex - permco - cusip - Price - Null values, negative numbers, vol - null values ret - null values, letter "B" as value multiple times, letter "C", shout - null values trade - null values eqret - vret -
Importing SDC Data into Winner Database
Create Table SDC as ( Date_Announced date, Date_Effective date, Tgt_Name varchar(80), Tgt_Industry varchar(50), Tgt_Nation varchar(10), Acq_Name varchar(10), Acq_Ind varchar(10), Acq_Nation varchar(10), Pc_Shares_Acq float, Pc_Owned_After_Transaction float, Value_Transaction_mil float, Enterprise_Value_mil float, Equity_Value_mil float, Acq_CUSIP varchar(10), Acq_Imm_prnt_CUSIP varchar(10), Acq_Ultimate_prnt_CUSIP varchar(10), Tgt_Immediate_prnt_CUSIP varchar(10), Tgt_Ultimate_prnt_CUSIP varchar(10), Tgt_CUSIP varchar(10), Acq_Primary_Ticker_Symbol varchar(10), Acq_Ultimate_prnt_Ticker varchar(10), Tgt_Primary_Ticker_Symbol varchar(10), Tgt_Ultimate_prnt_Ticker varchar(10), Tgt_Ultimate_prnt_Ticker varchar(10), Acq_Primary_NAIC varchar(10), Acq_Ultimate_prnt_NAIC varchar(10), Tgt_Primary_NAIC varchar(10), Tgt_Ultimate_prnt_Primary_NAIC varchar(10), Number_Bidders varchar(10), Status varchar(10), Value_Est varchar(10), Value_Amended_Flag varchar(10), Date_Announced_is_Estimated varchar(10), Consideration_Structure varchar(10), Number_Considerationsfered varchar(10), Number_Considerations_Sought varchar(10), Consid_Structure_Description varchar(10), Pc_Cash varchar(10), Pc_Other varchar(10), Pc_Stock varchar(10), Pc_Unknown varchar(10), Acq_Full_Name varchar(10), Tgt_Name varchar(30), Acq_City varchar(30), Tgt_City varchar(30), Acq_Zip varchar(10), Tgt_Zip varchar(10), Acq_St varchar(10), Tgt_St varchar(10), Currency varchar(10), Tgt_Bankrupt varchar(10), Chlng_Deal varchar(10), Debt_Restructuring varchar(10), RecapDefense varchar(10), Government_Owned_Involvement_Flag varchar(10), Joint_Venture varchar(10), Restructuring varchar(10), Acq_LBO_firm varchar(10), LBO varchar(10), IPO_FlagY_N varchar(10), Tgt_LBO_firm varchar(10), Merger_Equals varchar(10), Reverse_Takeover varchar(10), Deal_was_Rumor varchar(10), Acq_is_a_White_Knight varchar(10), White_Knight_Defense varchar(10), Back_End_Defense varchar(10), FlipOver_Defense varchar(10), Voting_Plan_Defense varchar(10), Poison_Pill varchar(10), Creeping_Acquisition varchar(10), Repurchase_Defense varchar(10), Pacman_Defense varchar(10), Lockup_FlagY_N varchar(10), Tgt_Lockup varchar(10), Greenmail varchar(10), Asset_Lockup varchar(10), Scorched_Earth_Defense varchar(10), SelfTender_Defense varchar(10), Stock_Lockup varchar(10), Defense varchar(10), White_Squire varchar(10), Acq_Includes_Employees varchar(10), Acq_Includes_an_ESOP varchar(10), Sig_Family_Ownership_Tgt varchar(10), Acq_Lockup varchar(10), Financial_Acq varchar(10), 2_Step_Spinoff varchar(10), Acq_Includes_Mgmt varchar(10), Open_Market_Purchases varchar(10), Proxy_Fight varchar(10), Purpose_Code varchar(10), Related_Deals varchar(10), Foreign_Provider_Funds varchar(10), Stock_Swap varchar(10), Asset_Swap_Flag varchar(10), Sweep_the_Street varchar(10), SelfTender varchar(10), Tender_offer varchar(10), Unsolicited varchar(10), Acq_TermFee varchar(10), Tgt_TermFee varchar(10), Forced_vote_provisions_FlagY_N varchar(10), Walkaway varchar(10), Acq_Ultimate_prnt_Street_Address_1 varchar(50), Acq_Ultimate_prnt_Street_Address_2 varchar(50), Tgt_Ultimate_prnt_Street_Address_1 varchar(50), Tgt_Ultimate_prnt_Street_Address_2 varchar(50), Acq_stockEx varchar(10), Tgt_stockEx varchar(10), Tgt_Net_Sales_LTM varchar(10), Tgt_Net_Assets varchar(10), Tgt_Total_Assets varchar(10), Tgt_Common_Equity varchar(10), Tgt_BVpersh_LTMUS varchar(10), Tgt_IntangibleA varchar(10), Tgt_R_D_One_Year_Prior varchar(10), Tgt_Total_Liabilities varchar(10))
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