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

Hubert de La Bruslerie and Alain Coen
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Alain Coen: University of Quebec at Montreal, Montreal, Quebec, Canada - UQAM - Université du Québec à Montréal = University of Québec in Montréal

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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; Cumulative abnormal returns; Financial analysts; Forecast revisions; Mergers and Acquisitions (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

Published in Finance Research Letters, 2019, 29, ⟨10.1016/j.frl.2019.03.015⟩

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Journal Article: The informational dimensions of the Amihud (2002) illiquidity measure: Evidence from the M&A market (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02289062

DOI: 10.1016/j.frl.2019.03.015

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