Abstract
We investigate whether the merger announcement dates provided in the Securities Data Corporation (SDC) database are handled correctly by researchers performing event studies. We find that in 24.1% of deals, the popular choice of using the SDC's “Date Announced” field as the event date leads to biased estimates of target firm abnormal returns because of earlier abnormal price movements due to merger‐related events such as merger rumors or search‐for‐buyer types of announcements. We hand collect the merger‐related events from news sources and make the complete data set publicly available at the Financial Management website.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
