We use an extensive dataset of 200 M&As and 1450 financial firms, reporting evidence on targets, acquirers and rival firms share returns from the announcement of the merger. Our results document that there is a positive and significant increase in value for the target firm during the observation period (2000-06) of our study. As expected, targets earn highly abnormal returns ranging from 6% to 12%, depending on the analyzed event window. On the contrary, returns to shareholders of the acquiring firms were essentially zero around the announcement; abnormal returns were slightly negative or positive and this share price behaviour indicates that investors perceive M&As to be, on average, not net-present value investments to the acquiring financial institutions. We also analyze the abnormal returns for different type of deals in terms of their scope, size, geography and legal status of the target firm we find that there is a positive and significant market reaction around the announcement of the merger for the following type of transactions: 1) Acquirers (banks) bid up for insurance or brokerage firms. 2) Acquirers buy subsidiaries or private targets. 3) Acquirers earn more on relative small deals and 4) Activity focus transactions between insurance and brokerage firms. On the contrary, shareholder abnormal returns to the acquiring companies are negative when: 1) Acquirers buy public targets. 2) Activity focus transactions between banks. 3) Acquirers earn negative excess returns in large deals. While abnormal returns to acquirers fluctuate sufficiently according to the type of the deal, abnormal returns to targets are highly positive in all forms. We can only discriminate that shareholders of target firms earn more in 1) Cross-border deals and, 2) Small deals. Finally, we determine whether the M&A announcement transmits intra-industry signals. To analyze this question, we construct equally-weighted portfolios of rival firms that were headquartered in the same country as the target.  We find that merger announcements generated positive intra-industry effects in all analyzed event windows except the two-day window (-1, 0).