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Information Asymmetry in Acquisitions Lit Review (view source)
Revision as of 16:58, 26 July 2012
, 16:58, 26 July 2012→Aboody and Lev 2000
**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(Source: Thomson 13(f))
==Analysts Forecasts==
I examine four proxies of asymmetric information:
# analyst following
# number of wholly-owned subsidiaries(No data source reported)
# firm size
# market to book value ratio.
*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==
Measures:
*R&D expenditure (No vs. some, and low vs. high)
*The insider trading data analyzed in this study were obtained from CDA/Investnet.
===Other===
