Why Has the FCAs Market Cleanliness Statistic for Takeover Announcements Decreased Since 2009?

37 Pages Posted: 9 Mar 2017

See all articles by Jim Goldman

Jim Goldman

University of Toronto

Stefan Hunt

Financial Conduct Authority

Paul Minter

Independent

Felix Suntheim

International Monetary Fund (IMF) - Monetary and Capital Markets Department

Qamar Zaman

Financial Services Authority

Date Written: July 10, 2014

Abstract

After remaining close to 30% for four years, the FCA’s market cleanliness statistic for takeovers decreased to about 15% between 2010 and 2013. This paper investigates the possible explanations for the fall in the statistic. We find evidence to exclude methodological bias, information leaking earlier relative to the takeover announcement or changes in sample characteristics as explanations for the decrease. This supports the hypothesis that the recent decrease in the statistic indicates that markets are cleaner. We note that the change in the statistic coincides with a material increase in regulatory enforcement activity and sanctions. Finally, we show that international comparisons of market cleanliness statistics can be misleading, and so should not be made, because countries have different disclosure regimes that affect the overall level of the statistic.

Keywords: Insider trading, event studies

JEL Classification: G14, G18

Suggested Citation

Goldman, Jim and Hunt, Stefan and Minter, Paul and Suntheim, Felix and Zaman, Qamar, Why Has the FCAs Market Cleanliness Statistic for Takeover Announcements Decreased Since 2009? (July 10, 2014). FCA Occasional Paper No. 4. Available at SSRN: https://ssrn.com/abstract=2828760

Jim Goldman

University of Toronto ( email )

Department of Economics
Toronto, Ontario M5S 3G7
Canada

Stefan Hunt

Financial Conduct Authority ( email )

25 The North Colonnade
Canary Wharf
London, E14 5HS
United Kingdom

Paul Minter

Independent ( email )

No Address Available

Felix Suntheim (Contact Author)

International Monetary Fund (IMF) - Monetary and Capital Markets Department ( email )

United States

Qamar Zaman

Financial Services Authority ( email )

25 The North Colonnade
Canary Wharf
London E14 5HS
United Kingdom
02070661852 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
29
Abstract Views
303
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information