The Informational dimension of the Amihud (2002) illiquidity measure: Evidence from the M&A market
de La Bruslerie, Hubert; Coen, Alain (2019), The Informational dimension of the Amihud (2002) illiquidity measure: Evidence from the M&A market, Finance Research Letters, 29, p. 23-29. 10.1016/j.frl.2019.03.015
TypeArticle accepté pour publication ou publié
Journal nameFinance Research Letters
MetadataShow full item record
Author(s)de La Bruslerie, Hubert
Dauphine Recherches en Management [DRM]
University of Quebec at Montreal, Montreal, Quebec, Canada
Abstract (EN)In this study we shed a new light on Amihud's illiquidity measure, used here as a relevant «measure of consensus belief among investors about new information» (Amihud, 2002). This paper demonstrates the relevance of this new approach/ dimension in the context of M&A transactions. Using a large sample of M&A in the U.S., Canada and Europe over the 2000–13 period, we report that Amihud's (2002) measure is a significant determinant of cumulative abnormal returns observed after M&A. This metric is also consistent with financial analyst forecast activity and stands as a relevant proxy measure of price informativeness.
Subjects / KeywordsPrice informativeness; Cumulative abnormal returns; Financial analysts; Forecast revisions; Mergers and Acquisitions
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