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

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  • Coën, Alain
  • de La Bruslerie, Hubert

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.

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  • Coën, Alain & de La Bruslerie, Hubert, 2019. "The informational dimensions of the Amihud (2002) illiquidity measure: Evidence from the M&A market," Finance Research Letters, Elsevier, vol. 29(C), pages 23-29.
    • Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:23-29
    DOI: 10.1016/j.frl.2019.03.015
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    More about this item

    Keywords

    Price informativeness; Amihud illiquidity measure; Cumulative abnormal returns (CARs); Financial analysts; Forecast revisions; M&A;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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