Is There Information Leakage Around Business Combinations on the French Market?

Abstract:     
This paper studies informed trading around business combinations on the French market to provide evidence of information leakage. We show that the cumulative abnormal returns and the relative spread exhibit variations thirty days before the announcement. Cumulative selling hidden volume increases more for value-destroying rumour-less cases than for cases with rumours. We then examine the determinants of private information. We find that the level of cumulative abnormal volume before the operation is significantly higher for operations between French firms as compared to the one involving at least one foreign firm.

Number of Pages in PDF File: 52

Keywords: Mergers and Acquisitions, hidden order, informed trading, bid-ask spread, information leakage

JEL Classification: G14, G34

working papers series