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Information Asymmetry in Acquisitions Lit Review (view source)
Revision as of 19:10, 25 July 2012
, 19:10, 25 July 2012no edit summary
*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|}</math>
**Number of estimates (Analysts attracted to firms with IA)
*Investment opportunity set:
*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</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
