The Timing and Substance of Divestiture Announcements: Individual, Simultaneous and Cumulative Effects
研究企业自愿资产剥离公告日的股价反应，发现平均而言首次剥离公告带来显著正超额收益，但并非所有公告都有正面效应；公告中披露交易价格时效应显著为正，否则不显著，且剥离规模与公告日回报正相关。
ABSTRACT This paper examines differences in announcement day effects among firms engaged in voluntary sell‐offs. While, on average, an initial sell‐off announcement results in a significant positive excess return, not all divestiture announcements are accompanied by positive price movements. Dividing the sample into two subsamples based on whether the transaction price is announced shows that the announcement day effect is significantly positive for the price group but not statistically different from zero for the no‐price group. In addition, a positive relation is found between the relative size of the sell‐off and the announcement day return.