Information Asymmetry in Acquisitions Lit Review - Revision history

imported>Ed: /* Aboody and Lev 2000 */

2012-07-26T20:58:04Z

Aboody and Lev 2000

imported>Ed: /* Utama and Cready 1997 */

2012-07-26T20:52:15Z

Utama and Cready 1997

imported>Ed: /* Tetlock 2010 */

2012-07-26T20:50:41Z

Tetlock 2010

imported>Ed: /* Lee (1992) */

2012-07-26T20:49:10Z

Lee (1992)

imported>Ed at 20:48, 26 July 2012

2012-07-26T20:48:18Z

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imported>Ed: /* Key/Cross-Group Papers */

2012-07-26T20:35:56Z

Key/Cross-Group Papers

imported>Ed at 23:10, 25 July 2012

2012-07-25T23:10:53Z

imported>Ed at 23:08, 25 July 2012

2012-07-25T23:08:06Z

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imported>Ed at 22:53, 25 July 2012

2012-07-25T22:53:48Z

imported>Ed at 23:02, 23 July 2012

2012-07-23T23:02:52Z

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 Measures:
 *R&D expenditure (No vs. some, and low vs. high)
 ===Other===

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 *As in Bamber and Cheon (1995), we estimate the relative unexpected volume in the announcement period as the ratio of the announcement-period trading volume to the expected volume, which is the median non-announcement trading volume.
 *Hence, we identify institutional ownership (INST) as the percentage of a firm's outstanding common shares held by institutional investors that is reported in the available Compact Disclosure disk dated on or after the month of the earnings announcement date.
+**We obtain institutional and large investor ownership data (used to assess the sensitivity of the reported results to how such investors are classiÞed) from the Spectrum section of the Compact Disclosure data base. The institutional data are constructed on the basis of the 13-F Þling with the Securities and Exchange Commission (SEC).10 Consistent with 13-F Þling requirements institutions are deÞned as entities other than natural persons with investment discretion over at least $100 million of equity securities. While Disclosure produces these data on a monthly basis, our source for these data obtained them on only an intermittent basis, acquiring the dataset once every two or three months. Hence, we identify institutional ownership (INST) as the percentage of a ÞrmÕs outstanding common shares held by institutional investors that is reported in the available Compact Disclosure disk dated on or after the month of the earnings announcement date. (E.g., the April 1994 disk was used for Þrm/announcements falling between 1 February 1994 and 30 April 1994 while the January 1994 disk was used for announcements occurring between 1 November 1993 and 31 January 1994.)
 ==Accounting Measures==

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 **Analyst coverage for each stock is the number of analysts with yearly earnings forecasts for that stock in the previous calendar month.
 **analyst forecast dispersion (Disperi t ) is the standard deviation of the one-year earnings per share forecasts in the previous calendar month divided by the contemporaneous stock price
-**Institutional ownership (InstOwni t ) is the sum of all institutional holdings divided by the firm’s market capitalization at the end of each calendar quarter
+**Institutional ownership (InstOwni t ) is the sum of all institutional holdings divided by the firm’s market capitalization at the end of each calendar quarter (Source: Thomson 13(f))
 ==Analysts Forecasts==

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 I examine four proxies of asymmetric information:
 # analyst following
-# number of wholly-owned subsidiaries
+# number of wholly-owned subsidiaries (No data source reported)
 # firm size
 # market to book value ratio.

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 *Uses Tobin's Q, but not as an IA measure.
 *In particular, we find that an increase in breadth of ownership leads to significantly higher returns for cash offers for public companies. Such a result could be understood if breadth-of-ownership proxies for information asymmetry since, in the presence of information asymmetry, a cash offer is good news about the value of the bidder’s common stock.
 *When idiosyncratic volatility is added to the regression, dispersion of analyst forecasts is no longer significant... Finally, in regression (4) we add breadth of ownership and the mutual fund holding variable to regression (1). We find that breadth of ownership is not significant. It follows that idiosyncratic volatility dominates our proxies for diversity of opinion.

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 *Analyst's Forecast Measures (data: First Call summary tape):
 **Forecast Error (Analysts over and under react): <math>ForecastError=\frac{|ACT_t-EST_t|}{|Act_t|}</math>
-**Std. Deviation of forecasts (Correlated with riskiness): <math> ForecastSD=\frac{SD_t}{|Act_t|}
+**Std. Deviation of forecasts (Correlated with riskiness): <math> ForecastSD=\frac{SD_t}{|Act_t|}</math>
 **Number of estimates (Analysts attracted to firms with IA)
 *Investment opportunity set:
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 *average daily transaction-based quoted bid-ask spreads and quoted depths - Amihud Illiquidity (Amihud (2002))
 *trading volume
-*Amihud Illiquidity (Illiq) <math>Illiqit= \frac{1}{N}\sum \frac{Ret_it}{Vol_it} 10^6
+*Amihud Illiquidity (Illiq) <math>Illiqit= \frac{1}{N}\sum \frac{Ret_it}{Vol_it} 10^6</math>
 **where N represents the number of days in the estimation period, Ret is the daily stock return, and Vol is the total number of shares traded during the day.
 *Quoted Half Spreads: One half of absolute difference between best bid and ask price

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 This page is referenced in:
-*[[VC Acquisitions Project]]
+*[[VC Acquisitions Paper]]
 ==References (unsorted)==

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   @article{clarke2001information,
     title={On information asymmetry metrics},
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+  }
   @article{pevzner2007management,
     title={Management earnings forecasts, information asymmetry, and liquidity: an empirical investigation},