Is the Friday Effect a Firm Effect? The Case of Cash-Financed Acquisition Announcements of Unlisted Firms. Evidence From Spain

• Autores: José Emilio Farinós Viñas, María Begoña Herrero Piqueras, Miguel Ángel Latorre Guillem
• Localización: UCJC Business & Society Review, ISSN-e 2659-3270, Vol. 20, Nº. 2, 2023, págs. 56-113
• Idioma: inglés
• Títulos paralelos:
  • ¿Es el Efecto Viernes un Efecto Empresa? El Caso del Anuncio de Adquisición de Empresas No Cotizadas con Pago en Efectivo. Evidencia para España
• Enlaces
  • Texto completo
• Resumen
  • español

    La evidencia previa muestra que los inversores prestan una menor atención a la informa-ción empresarial publicada el viernes que a información similar publicada en otros días de la semana. Este comportamiento es coherente con la hipótesis de la falta de atención y entra en conflicto con la Hipótesis del Mercado Eficiente. Sin embargo, esta diferente reacción del mercado a los anuncios realizados los viernes puede estar potencialmente mal especificada debido al sesgo de selección. En este trabajo exploramos esta cuestión para una muestra de 192 anuncios de adquisición de empresas objetivo no cotizadas con pago en efectivo realiza-das por empresas españolas cotizadas entre 1998 y 2018. Nuestros resultados muestran que, tras corregir el sesgo de selección, la infrarreacción del mercado a los anuncios de adquisición en viernes permanece.

  • English

    Prior evidence shows that investors pay less attention to corporate information released on Fri-day than to similar information released on other days of the week. This behaviour is consist-ent with the inattention hypothesis and conflicts with the notion of market efficiency. However, this differential market reaction to announcements on Friday may be potentially misspecified due to selection bias. We explore this issue for a sample of 192 cash-financed acquisition announcements of unlisted target firms made by listed Spanish firms from 1998 to 2018. We show that, after correcting for selection bias, the reduced market response to Friday acquisition announcements remains

• Referencias bibliográficas
  • Adra, S., Barbopoulos, L.G. (2018). “The valuation effects of investor attention in stock-financed acquisitions”. Journal of Empirical Finance,...
  • Ben-Rephael, A., Da, Z., Israelsen, R.D. (2017). “It depends on where you search: Institutional investor attention and underreaction to news”....
  • Capron, L., Shen, J. (2007). “Acquisitions of private vs. public firms: Private information, target selection, and acquirer returns”. Strategic...
  • Chang, S. (1998). “Takeovers of privately held targets, methods of payment, and bidder returns”. Journal of Finance, 53, 773-784.
  • da Silva Rosa, R., Limmack, R., Supriadi, Woodliff, D. (2004). “The equity wealth effects of method of payment in takeover bids for privately...
  • de Haan, E., Shevlin, T., Thornock, J. (2015). “Market (in) attention and the strategic scheduling and timing of earnings announcements”....
  • DellaVigna, S., Pollet, J.M. (2009). “Investor inattention and Friday earnings announcements”. Journal of Finance, 64, 709-749.
  • Draper, P., Paudyal, K. (2006). “Acquisitions: Private versus Public”. European Financial Management, 12, 57-80.
  • Faccio, M., McConnell, J., Stolin, D. (2006). “Returns to acquirers of listed and unlisted targets”. Journal of Financial and Quantitative...
  • Farinós, J.E., Herrero, B., Latorre, M.A. (2017). “The decision to acquire listed vs. unlisted firms: Determinants and value effects in the...
  • Farinós, J.E., Herrero, B., Latorre, M.A. (2021). “Investor inattention to all-cash acquisition announcements: A joint day-time analysis in...
  • Farinós, J.E., Herrero, B., Latorre, M.A. (2023). “Board gender diversity and the acquisition announcement on Friday. Evidence from Spain”....
  • Fuller, K., Setter, J., Stegemoller, M. (2002). “What do returns to acquiring firms tell us? Evidence from firms that make many acquisitions”....
  • Glasner, J. (2000). “And now, for those other deals”. Wired. Available online at: https://www.wired.com/2000/01/and-now-for-those-other-deals/...
  • Heckman, J.J. (1979). “Sample selection bias as a specification error”. Econometrica, 47, 153-161.
  • Hirshleifer, D., Lim, S.S., Teoh, S.H. (2009). “Driven to distraction: Extraneous events and underreaction to earnings news”. Journal of...
  • Kahneman, D. (1973). “Attention and Effort”. Englewood Cliffs: Prentice-Hall.
  • Leledakis, G.N., Mamatzakis, E.C., Pyrgiotakis, E.G., Travlos, N.G. (2021). “Does it pay to acquire private firms? Evidence from the U.S....
  • Louis, H., Sun, A. (2010). “Investor inattention and the market reaction to merger announcements”. Management Science, 56, 1781-1793.
  • Martynova, M., Renneboog, L. (2008). “A century of corporate takeovers: What have we learned and where do we stand?”. Journal of Banking...
  • Martynova, M., Renneboog, L. (2011). “The performance of the European market for corporate control: Evidence from the fifth takeover wave”....
  • Meng, Y., Sutton, N. (2022). “The evolution of bidder gains and acquisition discounts in M&A”. Journal of Banking and Finance, 143. DOI:...
  • Michaely, R., Rubin, A., Vedrashko, A. (2016). “Are Friday announcements special? Overcoming selection bias”. Journal of Financial Economics,...
  • Mitchell, M.L., Stafford, E. (2000). “Managerial decisions and long-term stock price performance”. Journal of Business, 73, 287-329.
  • Moeller, S., Schlingemann, F., Stulz, R. (2004). “Firm size and the gains from acquisitions”. Journal of Financial Economics, 73, 201-228.
  • Myers, S.C., Majluf, N.S. (1984). “Corporate financing and investment decisions when firms have information that investors do not have”. Journal...
  • Netter, J., Stegemoller, M., Wintoki, M.B. (2011). “Implications of data screens on merger and acquisition analysis: A large sample study...
  • Officer, M.S. (2007). “The price of corporate liquidity: Acquisition discounts for unlisted targets”. Journal of Financial Economics, 83,...
  • Padungsaksawasdi, C., Treepongkaruna, S., Brooks, R. (2019). “Investor attention and stock market activities: New evidence from panel data”....
  • Peng, L., Xiong, W., Bollerslev, T. (2007). “Investor attention and time-varying comovements”. European Financial Management, 13, 394-422.
  • Peress, J., Schmidt, D. (2020). “Glued to the TV Distracted Noise Traders and Stock Market Liquidity”. Journal of Finance, 75, 1083-1133.
  • Petmezas, D. (2009). “What drives acquisitions? Market valuations and bidder performance”. Journal of Multinational Financial Management,...
  • Reuer, J., Ragozzino, R. (2008). “Adverse selection and M&A design: the roles of alliances and IPOs”. Journal of Economic Behavior and...
  • Reyes, T. (2018). “Limited attention and M&A announcements”. Journal of Empirical Finance, 49, 201-222.
  • Shams, S.M.M., Gunasekarage, A., Colombage, S.R.N. (2013). “Does the organizational form of the target influence market reaction to acquisitions...
  • Siganos, A. (2019). “The daylight saving time anomaly in relation to firms targeted for mergers”. Journal of Banking and Finance, 105, 36-43.
  • Tanna, S., Yousef, I. (2019). “Mergers and acquisitions: Implications for acquirers’ market risk”. Managerial Finance, 45, 545-562.
  • Travlos, N.G. (1987). “Corporate takeover bids, methods of payment, and bidding firms’ stock returns”. Journal of Finance, 42, 943-964.
  • Tucker, J.W. (2010). “Selection bias and econometric remedies in accounting and finance research”. Journal of Accounting Literature, 29, 31-57.