REINTERPRETATION OF THE SHAREHOLDER GAINS IN SELLOFF TRANSACTIONS
分别考察剥离交易中买方和卖方的股价反应，发现加权组合后收益消失，且买卖双方规模差异影响收益，质疑剥离活动普遍产生协同效应的结论。
This paper examines the overall wealth effects of selloffs. When sellers and buyers are examined separately, abnormal returns are found around the announcement days. However, a combination of matched‐pair buyers and sellers in value‐weighted portfolios wipes out these gains. In a sample of 182 selloff portfolios, 93 of them experience positive returns while the remaining 89 cases face negative price reactions. These results cast doubt on the conclusion that selloff activity is generally synergistic. In addition, a large size difference is found between buyers and sellers. Large buyers win more often than small buyers. Small sellers win more often than large sellers. Our results show that when examining selloffs for synergy equally‐weighted results can be biased.