Post-Announcement Return Volatility And Takeover Outcomes: Evidence Of Differential Information Arrival

Abstract

This paper focuses on the effects of information arrival on asset return volatility. Rather than examine aggregate patterns in daily variances, this paper exploits the information rich circumstances of merger and tender offer bids to generate hypotheses of varying information arrival, and tests those hypotheses. The results reveal that differing bid circumstances, such as the presence of competing bids, do generate different levels of volatility, and these difference are consistent with the hypothesized information arrival differences.