9th Joint International Conference on Information Sciences (JCIS-06)

Information Asymmetry at Merge and Acquisition - An Investigation on Firms in the Electric Industry

Chi-Yun Hua 0, Wen-Chih LEE, Yao Min-Li, Chin Wei-Ming
Corresponding author
Chi-Yun Hua
0Department of Accounting, Fu-Jen CatholicUniversity
https://doi.org/10.2991/jcis.2006.48How to use a DOI?
Merge & Acquisition Announcement, Market Microstructure, VAR Model, Bid-Ask Spread, Information Asymmetry
The prior studies are focus on the association between merge and acquisition (M&A) announcement and stockholders’ wealth. There are few studies examining the change in the level of information asymmetry at M&A announcement. Our study, therefore, goes to fill out the aspect. This paper empirically investigates the change in asymmetric information at M&A announcement with a model proposed by Hasbrouck (1991b) and Brooks (1996). The model uses stock price, bid-ask quote, and trading volume via VAR model to derive a new proxy (Rw2 ) of price variance for the level of asymmetric information change among investors. The sample includes 30 firms with the M&A events in the electronic industry as listed in the Taiwan primary market. The findings indicate that M&A announcements, based on this study, has information contents but do not effectively reduce the level of asymmetry.
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  title={Information Asymmetry at Merge and Acquisition - An Investigation on Firms in the Electric Industry},
  author={Hua, Chi-Yun and Lee, Wen-Chih and Min-li, Yao and Wei-ming, Chin},
  booktitle={9th Joint International Conference on Information Sciences (JCIS-06)},
  publisher={Atlantis Press}
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