Abstract
Asset pricing anomalies have real effects on investment activities. I use the M&A data and demonstrate that the mispricing of bidders have value effects on the target. In particular, I show that high-beta bidders entail lower target announcement returns. To address the issue of endogeneity in beta estimations, I use hypothetical mutual fund fire sales as the source of the nonfundamental fluctuation. I run several cross-sectional tests to provide additional support, which are all related to the magnitude of systematic mispricing. The results are robust to using other proxies for speculativeness such as IVOL.