Public takeover offers and their impact on the Colombian Stock Market: a panel - BVAR analysis of the MSCI COLCAP (2020--2024)

Abstract

Public Tender Offers (PTOs) represent strategic events that significantly impact the stock market, particularly in emerging markets such as Colombia. This study analyses how PTO announcements affect the stock prices and trading volume of companies included in the MSCI COLCAP index during the period 2020M1--2024M8. A Bayesian Panel Vector Autoregressive (BPVAR) model is estimated, which allows evaluation of the dynamic interactions between prices, trading volume, and PTO announcement dates, controlling for variables such as inflation and interest rates. The results show a sustained increase in the average closing price of stocks following PTO announcements, with impacts on average trading volume being symmetrical to the response of the closing price. In particular, smaller companies show a proportionally greater revaluation, which is consistent with the literature. This study concludes that PTOs generate value for the shareholders of target companies in the Colombian context, although this effect may be more pronounced in emerging markets because of factors such as lower informational efficiency. This study contributes to a deeper understanding of the impacts of PTOs in emerging markets, highlighting their relevance as a corporate restructuring tool and their effect on the expectations of the Colombian stock market.