Investor Attention and Merger Announcements

Hongqi Liu and Karolina Krystyniak

Journal of Behavioral Finance, 2021, vol. 22, issue 1, 97-112

Abstract: This article analyzes investor attention around merger announcements and its impact on price reactions and investor trading activity. The authors find that (1) investor attention to target firms increases significantly during the preannouncement period, especially when merger-related news are present; (2) investor attention to both acquirer and target firms increases on the announcement day but increases more for the target firms and large deals; and (3) stock return and abnormal trading volume responses related to announcement are more pronounced when investor attention is higher. Overall, the results suggest that investors anticipate merger announcements and that investor attention affects how investors incorporate information into asset prices.

Date: 2021
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DOI: 10.1080/15427560.2020.1748632

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