Assimilation Effects in Financial Markets
研究发现，并购公告前一日同行业公司的盈余意外会正向影响收购方公告日的股票回报，但这种效应在一周后反转，且盈余意外越大，并购竞争、溢价和撤回概率越高。
Abstract An assimilation bias occurs when people’s evaluative judgment is positively influenced by a previously observed signal. We study this effect by examining investors’ appraisal of M&A deals announced 1 day after other firms in the same 1-digit SIC as the merging parties release earnings surprises. Consistent with assimilation effects, acquirers’ M&A announcement stock return initially correlates with the previous day’s earnings surprises. This effect reverses after 1 week. Assimilation generates other distortions as more positive surprises are related to increases in bid competition, takeover premiums, and withdrawn M&As. Evidence from IPOs corroborates the presence of assimilation effects in financial markets.