High-Frequency Measures of Informed Trading and Corporate Announcements

We study informed trading around announcements of merger bids (M&AD) and quarterly earnings (EAD). Extending the EKOP (1996) approach, we compute the daily posterior probabilities of informed trading on good and bad news. We find evidence of informed trading before and after M&AD and EAD. A significant part of the merger bid premium is impounded in stock prices prior to the announcement by informed buying. Post-M&AD informed trading predicts subsequent stock returns and the probabilities that the bid will be withdrawn or met with a competing bid. Pre-EAD informed trading also attenuates the price response to the announcement, and post-EAD informed trading predicts subsequent stock returns

MoreLess

Year of publication:	2017
Authors:	Brennan, Michael J.
Other Persons:	Huh, Sahn-Wook (contributor) ; Subrahmanyam, Avanidhar (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Ankündigungseffekt \| Announcement effect \| Wertpapierhandel \| Securities trading \| Gewinn \| Profit \| Elektronisches Handelssystem \| Electronic trading \| Fusion \| Merger \| Dividende \| Dividend

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (73 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Review of Financial Studies, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 7, 2017 erstellt
Other identifiers:	10.2139/ssrn.2578168 [DOI]
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012972038