交易量與併購交易宣告效果

Abstract

本研究探討併購交易宣告日前一周，主併公司股票的異常交易量，與宣告日期間異常報酬率的關係。研究結果顯示：(1) 併購交易宣告日前一周的異常低交易量，透露關於交易宣告效果的負面訊息；(2) 此現象在越受放空限制的股票中越明顯。我們認為併購交易宣告日前一周的異常低交易量，反映了知情交易者（informed traders）持有關於該併購交易的負面消息，然而受放空限制無法交易的現象。此外，交易量溢酬相關文獻的發現無法解釋此篇研究的結果，顯示高、低交易量對於報酬率的影響，背後的因素並不一樣。

This study investigates the relationship between unusually low trading volume of the bidder’s stock over the week prior to its M&A announcement and the announcement effect of the M&A bidder. The empirical result suggests that (1) the unusually low trading volume over the week prior to its M&A announcement signals bad news about the announcement effect; (2) this effect is more pronounced among stocks with higher short-selling constraints. Our findings posit that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents stay by the sidelines. In addition, past research regarding to high volume premium are insufficient to explain the results. This shows that the underlying driver for the volume prompted price movements is different for unusually high and low volume shocks.