IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-02289062.html

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
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bhaskar Tripathi & Rakesh Kumar Sharma, 2025. "Cryptocurrency Exchanges and Traditional Markets: A Multi-algorithm Liquidity Comparison Using Multi-criteria Decision Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2649-2677, May.
    2. Hu, Chun & He, Haoyang & Wang, Fei & SHIN, YEON-SOO, 2025. "Management equity incentives, market dynamics, and corporate R&D investment," Finance Research Letters, Elsevier, vol. 76(C).
    3. Gow-Cheng Huang & Kartono Liano & Ming-Shiun Pan, 2023. "Open-market stock repurchases, insider trading, and price informativeness," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1495-1513, May.
    4. Ivan Letteri, 2025. "A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books," Papers 2507.14960, arXiv.org.
    5. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    6. Yue, Wei & Zhang, Sijia & Zhang, Qiang, 2021. "Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective," Finance Research Letters, Elsevier, vol. 41(C).
    7. John Coughlan & Alexei G. Orlov, 2023. "High‐frequency trading and market quality: Evidence from account‐level futures data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1126-1160, August.

    More about this item

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-02289062. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.