The (Missing) Relation between Acquisition Announcement Returns and Value Creation
研究发现收购公告前后的累计异常回报（CAR）与事后价值创造指标不相关，且CAR主要反映收购方自身信息，无法提取交易相关信息，因此不是衡量预期价值创造的可靠指标。
ABSTRACT Cumulative abnormal returns (CARs) computed around acquisition announcements are widely considered to be market‐based assessments of expected value creation. We show, however, that announcement returns do not correlate with commonly used and new measures of ex post outcomes. A simple characteristics‐based model using standard information known at the announcement date can predict these outcomes reasonably well, yet CAR even fails to capture the predictions from this model. Evidence suggests that information about the stand‐alone acquirer dominates CAR, making it virtually impossible to extract deal‐related information. We conclude that CAR is an unreliable measure of expected value creation.