Intra‐Industry Transfers of Implied Volatility Information Around Mergers and Acquisitions
研究了并购公告是否传递关于竞争对手股票波动率的信息，发现目标公司期权隐含波动率的变化与同行公司显著正相关，且这种信息转移在更可能被收购的竞争对手中更强。
ABSTRACT We examine whether merger announcements convey information relevant to rival firms' return volatility, in addition to that about returns. We find that the changes in option implied volatility of the merger targets around deal announcement are positively and significantly related to the changes in option implied volatility of their industry rivals, consistent with the transfer of volatility information. Our results are obtained after controlling for the transfer of return information, contemporaneous market‐wide volatility, as well as other volatility determinants. We also find that the magnitude of volatility information transfer is significantly stronger for those rivals (i) identified ex ante by the market as most likely to be subsequently acquired, (ii) that subsequently receive a takeover bid, or (iii) that have a financial profile that is similar to that of the merger targets. We interpret the evidence to be consistent with the acquisition probability hypothesis.