CAJ | 학술논문

本文利用2004～2008年的86起并购重组事件考察了并购公告前后信息结构的变化。发现在并购公告之前，存在显著的信息泄漏。本文检验了并购公告前后知情交易概率（PIN）的变化，发现并购公告前的PIN低于并购公告后的PIN，从而表明PIN无法准确地反映信息不对称程度，因而PIN并不是衡量信息不对称的很好指标。另外。买卖价差在并购公告之前逐渐上升，并购公告之后逐渐下降，因此，买卖价差能够较好地反映信息结构的变化。
본문이용2004～2008년적86기병구중조사건고찰료병구공고전후신식결구적변화。발현재병구공고지전，존재현저적신식설루。본문검험료병구공고전후지정교역개솔（PIN）적변화，발현병구공고전적PIN저우병구공고후적PIN，종이표명PIN무법준학지반영신식불대칭정도，인이PIN병불시형량신식불대칭적흔호지표。령외。매매개차재병구공고지전축점상승，병구공고지후축점하강，인차，매매개차능구교호지반영신식결구적변화。
This article employs data for 86 M＆A announcement events from 2004 to 2008 to test the change ot information structure among the M＆A announcements. It shows that there is significant leakage of information before the M＆A announcement. We test the changes of probability of informed trading （PIN） among the M＆A announcement, and find that the PIN before the M＆A announcement is larger than the PIN after the M＆A announcement. Thus, it indicates that the PIN cannot capture the information asymmetry, and it is not a good indicator for information asymmetry. In addition, we find that the bid-ask spread continues increasing before the M＆A an- nouncement and continues decreasing after the announcement. Therefore, the bid-ask spread can be a good measure to capture the changes of information structure.