Intraday volatility and trading volume after takeover announcements

被引：12
作者：
Smith, BF
White, R
Robinson, M
Nason, R
机构：
[1] UNIV WESTERN ONTARIO, SCH BUSINESS ADM, LONDON, ON N6A 3K7, CANADA
[2] UNIV CALGARY, FAC MANAGEMENT, CALGARY, AB T2N 1N4, CANADA
[3] BANK MONTREAL, TORONTO, ON, CANADA
来源：
JOURNAL OF BANKING & FINANCE | 1997年 / 21卷 / 03期
关键词：
volatility; trading volume; takeovers; public announcements;
D O I：
10.1016/S0378-4266(96)00048-9
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines transactions data regarding the market's reaction to 258 takeover announcements on the Toronto Stock Exchange (TSE) from 1977 to 1989. The study analyzes volatility and volume of target firm's stock during the first trading day following a takeover announcement. A cross-sectional analysis relates this intraday volatility and volume to various aspects of a takeover announcement that proxy for the certainty of payoff to shareholders. Post-announcement volatility is highest when takeover announcements involve share exchange bids which are contested. Trading volume is highest when bids are contested and involve a large initial price change.
引用
收藏
页码：337 / 368
页数：32
相关论文
共 28 条
[1]   A Theory of Intraday Patterns: Volume and Price Variability [J].
Admati, Anat R. ;
Pfleiderer, Paul .
REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) :3-40
[2]   COMPARATIVE-STUDY OF COMPLETE TENDER OFFERS AND PARTIAL ACQUISITIONS [J].
AMOAKOADU, B ;
SMITH, B .
JOURNAL OF BANKING & FINANCE, 1993, 17 (06) :1097-1110
[3]   THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J].
BANZ, RW .
JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :3-18
[4]   NEGOTIATED BLOCK TRADES AND CORPORATE-CONTROL [J].
BARCLAY, MJ ;
HOLDERNESS, CG .
JOURNAL OF FINANCE, 1991, 46 (03) :861-878
[5]   SYNERGISTIC GAINS FROM CORPORATE ACQUISITIONS AND THEIR DIVISION BETWEEN THE STOCKHOLDERS OF TARGET AND ACQUIRING FIRMS [J].
BRADLEY, M ;
DESAI, A ;
KIM, EH .
JOURNAL OF FINANCIAL ECONOMICS, 1988, 21 (01) :3-40
[6]   RISK-AVERSION, UNCERTAIN-INFORMATION, AND MARKET-EFFICIENCY [J].
BROWN, KC ;
HARLOW, WV ;
TINIC, SM .
JOURNAL OF FINANCIAL ECONOMICS, 1988, 22 (02) :355-385
[7]  
CONRAD J, 1990, UNPUB ORDER FLOW TRA
[8]  
EASLEY D, 1992, J FINANC, V47, P577
[9]   PREEMPTIVE BIDDING AND THE ROLE OF THE MEDIUM OF EXCHANGE IN ACQUISITIONS [J].
FISHMAN, MJ .
JOURNAL OF FINANCE, 1989, 44 (01) :41-57
[10]   THE EFFECT OF PUBLIC INFORMATION AND COMPETITION ON TRADING VOLUME AND PRICE VOLATILITY [J].
FOSTER, FD ;
VISWANATHAN, S .
REVIEW OF FINANCIAL STUDIES, 1993, 6 (01) :23-56
123