HCBE Faculty Articles

Title

Multimarket Trading At Merger Announcement and Completion

Document Type

Article

Date

6-23-2011

Publication Title

Journal of Derivatives & Hedge Funds

ISSN or ISBN

1753-965X

Volume

17

Issue

3

First Page

186

Last Page

197

Description

We examined multimarket trading in the stock and option markets during merger announcement and successful and failed completion. Using contemporary intraday stock and options data, we observed alternate call buying and stock selling for acquirer stock in cash mergers, call writing and stock selling, followed by put buying for acquirer stock in stock mergers at merger announcement. For successful completions, stock selling dominated for cash acquirers and put buying for stock acquirers. Deal failure was accompanied by initial put buying, followed by call writing and stock selling on target stock. Signalling between markets and the alternation of informed trading between markets was inferred.

DOI

10.1057/jdhf.2011.13

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