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J. Jaffe (1974)
Special Information and Insider TradingThe Journal of Business, 47
Stephen Brown, Jerold Warner (1980)
MEASURING SECURITY PRICE PERFORMANCEJournal of Financial Economics, 8
E. Dimson (1979)
Risk measurement when shares are subject to infrequent tradingJournal of Financial Economics, 7
J. Jaffe (1974)
The effect of regulation changes on insider tradingThe Bell Journal of Economics, 5
Myron Scholes, Joseph Williams (1977)
Estimating betas from nonsynchronous dataJournal of Financial Economics, 5
(1978)
Merger Leaks Abound Causing Many Stocks to Rise Before the Fact.
Michael Gort (1969)
An Economic Disturbance Theory of MergersQuarterly Journal of Economics, 83
The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model
Joseph Finnerty (1976)
Insiders and Market EfficiencyJournal of Finance, 31
G. Mandelker (1974)
Risk and return: The case of merging firmsJournal of Financial Economics, 1
(1978)
Who's Afraid of 106-5?.
P. Halpern (1973)
Empirical Estimates of the Amount and Distribution of Gains to Companies in MergersThe Journal of Business, 46
D. Mueller (1977)
The effects of conglomerate mergers : A survey of the empirical evidenceJournal of Banking and Finance, 1
ABSTRACT This paper provides evidence of excess returns earned by investors in acquired firms prior to the first public announcement of planned mergers. The study is distinguished from earlier merger studies in its use of daily holding period returns for the 194 firms sampled. The results confirm statistically what most traders already know. Impending merger announcements are poorly held secrets, and trading on this nonpublic information abounds. Specifically, leakage of inside information is a pervasive problem occurring at a significant level up to 12 trading days prior to the first public announcement of a proposed merger.
The Journal of Finance – Wiley
Published: Sep 1, 1981
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