Prebid Run‐Ups Ahead of Canadian Takeovers: How Big Is the Problem?
研究1985至2002年399家加拿大公司在收购公告前的价格和交易量变化，发现内幕交易导致异常回报和异常换手率，且换手率提前上升，表明内幕人员利用私有信息。
This paper studies the price‐volume dynamics ahead of takeover announcements for 399 Canadian firms from 1985 to 2002. I find evidence consistent with insiders trading illegally, creating both abnormal returns (ARs) and abnormal turnover (AT) ahead of the announcement. The rise in AT begins far ahead of the actual announcement, accompanied by ARs in the last five trading days, consistent with more informed trading. Data on disclosed insider trading indicate a sharp increase in volume prior to the takeover announcement, suggesting that insiders make use of private information. This study confirms the importance of AT for triggering an insider trading investigation .