Measuring Deal Premiums in Takeovers
研究发现，使用SDC数据库的“公告日期”字段作为事件日，在24.1%的交易中会导致目标公司异常收益估计偏差，因为更早的并购相关事件（如并购传闻）已引发股价异常波动。
We investigate whether the merger announcement dates provided in the Securities Data Corporation (SDC) database are handled correctly by researchers performing event studies. We find that in 24.1% of deals, the popular choice of using the SDC's “Date Announced” field as the event date leads to biased estimates of target firm abnormal returns because of earlier abnormal price movements due to merger‐related events such as merger rumors or search‐for‐buyer types of announcements. We hand collect the merger‐related events from news sources and make the complete data set publicly available at the Financial Management website.