The Informational Dimensions of the Amihud (2002) Illiquidity Measure

21 Pages Posted: 18 Nov 2019

See all articles by Hubert de La Bruslerie

Hubert de La Bruslerie

Université Paris Dauphine

Alain Coen

Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)

Date Written: January 3, 2019

Abstract

In this study we shed a new light on Amihud’s illiquidity measure, used here as a relevant measure of consensus belief among investors about new information (Amihud, 2002). This paper demonstrates the relevance of this new approach/dimension in the context of M&A transactions. Using a large sample of M&A in the U.S., Canada and Europe over the 2000-2013 period, we report that Amihud’s (2002) measure is a significant determinant of cumulative abnormal returns observed after M&A. This metric is also consistent with financial analyst forecast activity and stands as a relevant proxy measure of price informativeness.

Keywords: Price informativeness, Amihud illiquidity measure, Cumulative abnormal returns (CARs), Financial analysts, Forecast revisions, M&A

JEL Classification: G14, G34

Suggested Citation

de La Bruslerie, Hubert and Coen, Alain, The Informational Dimensions of the Amihud (2002) Illiquidity Measure (January 3, 2019). Available at SSRN: https://ssrn.com/abstract=3447297 or http://dx.doi.org/10.2139/ssrn.3447297

Hubert De La Bruslerie (Contact Author)

Université Paris Dauphine ( email )

DRM Finance
Paris, 75116
France
(33) 1 44 05 44 05 (Phone)

Alain Coen

Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) ( email )

P.O. Box 8888, Downtown Station
Succursale Centre Ville
Montreal, Quebec H3C 3P8
Canada
514-987-3000 (Phone)
418-681-2501 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
12
Abstract Views
86
PlumX Metrics