摘要
本文利用2004～2008年的86起并购重组事件考察了并购公告前后信息结构的变化。发现在并购公告之前,存在显著的信息泄漏。本文检验了并购公告前后知情交易概率(PIN)的变化,发现并购公告前的PIN低于并购公告后的PIN,从而表明PIN无法准确地反映信息不对称程度,因而PIN并不是衡量信息不对称的很好指标。另外,买卖价差在并购公告之前逐渐上升,并购公告之后逐渐下降,因此,买卖价差能够较好地反映信息结构的变化。
This article employs data for 86 M＆A announcement events from 2004 to 2008 to test the change ot information structure among the M＆A announcements. It shows that there is significant leakage of information before the M＆A announcement. We test the changes of probability of informed trading （PIN） among the M＆A announcement, and find that the PIN before the M＆A announcement is larger than the PIN after the M＆A announcement. Thus, it indicates that the PIN cannot capture the information asymmetry, and it is not a good indicator for information asymmetry. In addition, we find that the bid-ask spread continues increasing before the M＆A an- nouncement and continues decreasing after the announcement. Therefore, the bid-ask spread can be a good measure to capture the changes of information structure.
出处
《经济管理》
CSSCI
北大核心
2010年第9期139-146,共8页
Business and Management Journal ( BMJ )
关键词
知情交易概率
信息不对称
买卖价差
并购公告
probability of informed trading
information asymmetry
bid-ask spread
M＆A announcement
