Theory provides competing predictions on the question of whether informed investors immediately trade on newly generated private information. We address this question using SEC-mandated disclosures to identify the dates when new private information about target or acquiring firm value is...

Recent research on blockholders focuses on activist hedge funds and documents positive stock but negative bond returns. This study investigates the role of blockholder heterogeneity on security market effects and target firm follow-on activities across three important dimensions: identity,...

This paper examines changes in Credit Default Swap (CDS) spreads as a proxy for default risk after M&A announcement for the companies involved. Existing literature extensively documents wealth effects triggered by M&A announcements from the shareholders' perspective, but there is limited...

Purpose − The purpose of this study is to examine stock price and trading volume reactions to name changes of the Toronto Stock Exchange listed companies. Previous studies present conflicting evidence on reactions to corporate name changes in U.S. and other capital...

This paper proposes a new approach to control the effects of time-varying parameters on the estimates of abnormal returns. Event studies usually assume that the parameters of the market model are stable. Using a sample of firm takeovers, however, I find that this assumption is indeed rejected....

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID)—an exogenous shock that increases liquidity. The effect of...

A theoretical model proposed by Cornelli and Li (2002) suggests that informed traders transact in shares of the target firm following the announcement of a takeover. In such cases, takeover traders are incentivised to become large shareholders in the target and, in doing so, influence the...

In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...

We investigate the cross-sectional predictive relations between stock returns of two public firms with one firm, the parent, owning partial equity of the other, the subsidiary. We find that high past returns of the subsidiary (parent) predict high future returns of the parent (subsidiary). The...

Institutional investors’ common blockholdings within an industry produce an information advantage, allowing them to differentiate between the industry-wide and firm-specific nature of bad news released by peer firms and avoiding selling on false spillover signals (i.e., “panic exit”),...