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Informed Trading around Biotech M&As


Informed Trading around Biotech M&As

Tran, Trang Phuong (2014) Informed Trading around Biotech M&As. Masters thesis, Concordia University.

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We compare the PIN estimates using the Easley, Hvidkjaer, and O’Hara (2002) and Yan and Zhang (2012) estimation methods over the takeover announcement life cycle based on intraday data for 54 U.S. biotech acquirers and 95 U.S. biotech targets between 2005 and 2011. We find that: (1) the Yan and Zhang method is subject to (generally not significantly) less downward bias; (2) the estimates for the Easley et al. method increase significantly as the number of observations used in their estimation increases; and (3) firm characteristics such as book-to-market ratio, financial leverage, firm size, insider holdings, institutional holdings, and research and development expenses are determinants of the PIN estimates. Consistent with the previous literature, the cumulative abnormal returns around announcement dates are more significant for targets than acquirers and are strongly associated with firm size and the book-to-market ratio.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Tran, Trang Phuong
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:7 April 2014
Thesis Supervisor(s):Kryzanowski, Lawrence
Keywords:Probability of Informed Trading (PIN); PIN Determinants; Insider Trading; Mergers and Acquisitions; Stock Overvaluation
ID Code:978408
Deposited On:30 Jun 2014 20:23
Last Modified:01 Jan 2019 01:00
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