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Article Dans Une Revue Finance Research Letters Année : 2019

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

Résumé

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.
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Dates et versions

hal-02289062 , version 1 (16-09-2019)

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Hubert de La Bruslerie, Alain Coen. The Informational dimension of the Amihud (2002) illiquidity measure: Evidence from the M&A market. Finance Research Letters, 2019, 29, ⟨10.1016/j.frl.2019.03.015⟩. ⟨hal-02289062⟩
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