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| Author: | |
| Title: | Intraday volatility and trading volume after takeover announcements |
| Journal: | Journal of Banking and Finance
1997 : MAR, VOL. 21:3, p. 337-368 |
| Index terms: | VOLATILITY TRADING VOLUMES MERGERS PUBLICITY INFORMATION |
| Language: | eng |
| Abstract: | This study finds that target firm stock volatility and trading volume are abnormally high, but decline in the five first hours of trading after a takeover announcement. The elevated level of volatility and volume differs across takeover announcements which vary according to the type of information they convey to traders. The study supports the uncertain information hypothesis of Brown e al. (1988) in that the results reflect a stock market in which investors react rationally to different levels of uncertainty resulting from the announcement. |
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