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

Alain Coën and Hubert de La Bruslerie

Finance Research Letters, 2019, vol. 29, issue C, 23-29

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.

Keywords: Price informativeness; Amihud illiquidity measure; Cumulative abnormal returns (CARs); Financial analysts; Forecast revisions; M&A (search for similar items in EconPapers)
JEL-codes: G14 G34 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Working Paper: The Informational dimension of the Amihud (2002) illiquidity measure: Evidence from the M&A market (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:23-29

DOI: 10.1016/j.frl.2019.03.015

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