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市场反应，发现公告交易价格时股价显著上涨，且剥离规模与公告日回报正相关。
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.