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The Informational dimension of the Amihud (2002) illiquidity measure: Evidence from the M&A market

Author

Listed:
  • Hubert de La Bruslerie

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

  • Alain Coen

    (University of Quebec at Montreal, Montreal, Quebec, Canada - UQAM - Université du Québec à Montréal = University of Québec in Montréal)

Abstract

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.

Suggested Citation

  • Hubert de La Bruslerie & Alain Coen, 2019. "The Informational dimension of the Amihud (2002) illiquidity measure: Evidence from the M&A market," Post-Print hal-02289062, HAL.
    • Handle: RePEc:hal:journl:hal-02289062
    DOI: 10.1016/j.frl.2019.03.015
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    More about this item

    Keywords

    Price informativeness; Cumulative abnormal returns; Financial analysts; Forecast revisions; Mergers and Acquisitions;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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