Earticle

초록

영어

This paper examines whether a firm’s takeover vulnerability increases the scope of speculative noise trading for its stock. Specifically, the paper tests whether takeover vulnerability overly motivates investors to acquire and trade on private information and thus causes them to react even to non-information as if it were information; if so, then the stock price changes will be serially correlated. Using variance ratio, we find that the hypothesized pattern is indeed borne out by data but it is conditional on the quality of information environment. That is, a stock’s deviation from random walks is larger when its takeover vulnerability is greater and its information environment is poorer. In a sufficiently good information environment, on the other hand, there is no evidence that takeover vulnerability causes speculative noise trading. All those patterns are observed only in individual stock returns and not at the portfolio level. The no-result with portfolios implies that the deviation from random walks observed in individual stock returns is driven by a firm-specific component and thus not explained by time-varying expected returns.

목차

Abstract
 1. Introduction
 2. Hypothesis development
  2.1. Setup
  2.2. Hypothesis
  2.3. Relationship between variance ratio and relative idiosyncratic volatility measure
 3. Sample and data
 4. Empirical results
  4.1. Summary statistic
  4.2. Univariate analysis
  4.3. Multivariate analysis
  4.4. Portfolio analysis
 5. 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

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330