Merger Announcements and Insider Trading Activity: An Empirical Investigation
实证发现，在并购首次公告前，目标公司投资者可获得超额收益，且内幕信息泄露在公告前12个交易日就已显著存在。
ABSTRACT This paper provides evidence of excess returns earned by investors in acquired firms prior to the first public announcement of planned mergers. The study is distinguished from earlier merger studies in its use of daily holding period returns for the 194 firms sampled. The results confirm statistically what most traders already know. Impending merger announcements are poorly held secrets, and trading on this nonpublic information abounds. Specifically, leakage of inside information is a pervasive problem occurring at a significant level up to 12 trading days prior to the first public announcement of a proposed merger.