Investor Inattention and the Market Reaction to Merger Announcements
研究发现即使在重大并购公告中，投资者注意力不足仍影响信息处理，周五发布的股票互换公告市场反应较弱，表现为收购方异常交易量和异常回报率较低。
Prior studies suggest that investors have limited attention. Tests of the inattention hypothesis have been performed in the context of relatively small corporate events, particularly earnings announcements. Presumably, large corporate events would always attract sufficient investor attention. However, we find evidence indicating that inattention affects investors' information processing even in the context of one of the largest and most important corporate events—merger announcements. More specifically, consistent with the notion that investors are less attentive to Friday announcements, we find that the market reaction to Friday stock swap announcements is muted, as evidenced by lower acquirers' merger announcement abnormal trading volumes and less pronounced acquirers' merger announcement abnormal stock returns.