Target Firm Abnormal Returns and Trading Volume Around the Initiation of Change in Control Transactions

1 March 1992

journal article
Published by JSTOR in Journal of Financial and Quantitative Analysis

Vol. 27 (1) , 109
https://doi.org/10.2307/2331301

Abstract

This study examines the average abnoraml returns, average abnormal trading volume, and reported insider trading of corporate control target firms during a period of possibly informed trading. This period begins on the unpublicized initiation data (as reported in a postannouncement data proxy statement or 14-D1) and ends on the publication data of the first Wall Street Journal story signalling an impending change in corporate control. We find that the preannouncement data average abnormal return noted by other researchers begins after the unpublicized initiation data of the transaction. We find no evidence of the preannouncement data average abnormal trading volume noted by previous researchers; instead, we find average abnormal volume beginning with the first public information regarding the transaction.

Keywords

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