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FT coverage and UK target price run-ups

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  • Antonios Siganos
  • Marco Papa

Abstract

We focus on the market expectation hypothesis to explain the increase in share prices and trading volume of target firms before their merger announcements that have conventionally been attributed to either insider trading or market expectation. We use Financial Times (FT) coverage as a proxy of merger expectation and search for relevant articles for 783 UK target firms between 1998 and 2010. We identify a total of 1049 rumour articles and find that the FT market expectation proxy explains a small percentage of the target price run-ups. Results are strong during the sample period, even though the magnitude for both returns and trading volume tends to decrease within recent years. There is also a strong contemporaneous relation between abnormal returns and trading volume. Unexplained increases in target prices and trading volume may be attributed to insider trading.

Suggested Citation

  • Antonios Siganos & Marco Papa, 2015. "FT coverage and UK target price run-ups," The European Journal of Finance, Taylor & Francis Journals, vol. 21(12), pages 1070-1089, September.
    • Handle: RePEc:taf:eurjfi:v:21:y:2015:i:12:p:1070-1089
    DOI: 10.1080/1351847X.2014.924077
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    Cited by:

    1. Styliani Panetsidou & Angelos Synapis & Ioannis Tsalavoutas, 2022. "Price run-ups and insider trading laws under different regulatory environments," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 601-639, August.

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