In a study conducted in 2000 by Francis Breedon and Francesca Fornasari of Lehman Brothers entitled "FX impact of cross-border M&A", it was found that, on average, large M&A deals cause the domestic currency of the target corporation to appreciate by 1% relative to the acquirer's. For every $1-billion deal, the currency of the target corporation increased in value by 0.5%. More specifically, the report found that in the period immediately after the deal is announced, there is generally a strong upward movement in the target corporation's domestic currency (relative to the acquirer's currency). Fifty days after the announcement, the target currency is then, on average, 1% stronger. However, the study found that this currency impact tends to peak at approximately 5%. According to our observation, since the market is predominantly an expectations market, we generally see a large portion of the move that can be attributed to M&A activity occur within the first week of the announcement.
Source: http://www.investopedia.com/articles/forex/05/MA.asp; http://www.gftforex.com/; http://www.bktraderfx.com/site/members-benefits
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