Dividend mispricing: Evidence from all‐stock merger deals
研究全股票并购中目标公司股价是否充分反映收购方即将发放的股利，发现股价调整不完全，但幅度不足以套利。
Abstract Stock prices of targets in all‐stock merger deals should reflect acquirer share values, net of expected dividend payments before deal completion. This setting provides a unique opportunity to examine whether market prices of target stocks reflect the price reducing impact of impending acquirer dividends. We find evidence that target stock returns on the acquirer ex‐day are negatively related to the size of the dividend payments, indicating an incomplete adjustment on the last cum‐day. However, given the size of typical quarterly dividends, the magnitude of the estimated 30% incomplete adjustment to the dividend does not represent a viable arbitrage opportunity. Examining a longer window, we find that roughly 70% of the acquirer dividend is incorporated into the target stock price in the period two days after the dividend announcement to the ex‐day. Overall, our results are consistent with target stock prices adjusting slowly over time to reflect impending acquirer dividends.