Information Asymmetry Measures

In a review of 28 papers that used one or more information asymmetry measures to explain stock price events (acquisitions, earning announcements, diversitures, etc.), the following measures were found:

D91

CS01

Mea07

KS99

FL04

O07

L92

T02

Aea02

AB94

LT07

T10

UC97

Oea09

M96

ES99

AL00

Y03

CS07

Cea04

Others*

Count

Price/Volume Metrics

y

y

y

y

y

y

y

y

8

Idiosyncratic Volatility

Y

y

y

y

y

5

R-Squared from Earnings, Book Val. On Price

y

1

Momentum

y

1

Stock Illiquidity

y

1

Pre-CAR

y

1

Ratio of shares traded to outstanding

y

y

2

Abnormal/Unexpected Turnover

y

y

2

Analyst Forecasts

y

y

y

y

y

y

y

y

y

y

10

Forecast Error

y

y

y

y

4

Std. Dev. Of Forecasts

y

y

y

y

y

y

y

y

8

Normalized Forecast Error

y

y

2

Range of Forecasts

y

y

2

No. Estimates

y

1

No. Analysts

y

y

y

3

News

y

y

y

3

News Announcements

Y

y

y

3

Capital Structure

y

y

y

y

y

y

6

Breadth of Ownership/Block Holdings

y

y

2

Institutional Ownership/Holdings

y

y

2

Managerial Holdings

y

1

No. Wholy Owned Subs.

y

1

Accounting-based Measures

y

y

y

y

y

y

y

y

y

y

10

Market-to-Book-Assets (or Q)

y

y

y

y

y

y

y

7

Market-to-Book-Equity

y

1

Earnings to Price Ratio

y

1

Firm Size

y

y

2

Development Stage (Sales<0.5b)

y

1

R&D Expenditure

y

y

2

Ratio of R&D to Sales

y

1

Intangible Assets

y

1

Ratio of Intangible Assets

y

1

Sales Growth

y

1

External Responses

y

1

Ratings Change

y

1

Transaction Characteristics

y

y

y

y

y

y

+8

14

Method of Payment

y

y

y

y

y

+7

12

Diversification/Related

y

y

2

Acquirer Experience

y

y

2

Distance between A&T

+1

1

Target Characteristics

y

1

Target Age

y

1

Note that C98, Eea90, Aea90, BR91, Fea02, ET00, and CL87 (not listed above) all used payment method only, and BC11 used a distance measure.

The paper codes are as follows:

Code   Paper
AL00   Aboody and Lev 2000
Aea02   Affleck-Graves et al. 2002
Aea90   Amihud et al 1990
AB94   Atiase and Bamber 1994
BC11   Basu and Chevrier 2011
BR91   Brown and Ryngaert 1991
CL87   Calvet and Lefoll 1987
CS07   Capron and Shen 2007
Cea04   Carrow et al. 2004
C98   Chang 1998
CS01   Clarke and Shastri 2001
D91   Dierkens 1991
ET00   Eckbo and Thorburn 2000
Eea90   Eckbo et al 1990
ES99   Emery and Switzer 1999
FL04   Frankel and Li (2004)
Fea02   Fuller et al. 2002
KS99   Krishnaswami and Subramaniam 1999
L92   Lee (1992)
LT07   Lobo and Tung 1997
M96   Martin 1996
Mea07   Moeller et al. 2007
O07   Officer (2007)
Oea09   Officer et al. 2009
T10   Tetlock 2010
T02   Thomas (2002)
UC97   Utama and Cready 1997
Y03   Yook 2003