Earticle

초록

영어

Using the variance ratio, this paper shows that a larger portion of volatility is driven by a temporary component in stocks with fewer antitakeover provisions than in stocks with more such protections. This finding suggests that the greater openness to the market for corporate control renders an otherwise short-lived shock capitalized into stock price. Conversely, it implies that antitakeover provisions block private information flow until it depreciates away. This finding completes the explanation for the inverse relationship between stock return volatility and the number of takeover protections. We also discuss how it helps rationalize two different uses of idiosyncratic stock return volatility, namely, as a proxy for private information flow and for arbitrage risk.

목차

Abstract
 1. Introduction
 2. Sample and data
 3. Empirical results
  3.1. Variance ratio
  3.2. Univariate analysis – total return
  3.3. Univariate analysis – idiosyncratic return
  3.4. Multivariate analysis
 4. Conclusions
 References
 Table

키워드

저자

• Joon Chae [ Seoul National University ]
• Dong Wook Lee [ Korea University Business School ] Corresponding author.
• Shu Feng Wang [ Seoul National University ]

참고문헌

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간행물

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330