1 Macro Information Environments and the Abnormal Returns to Rival Firms of Targets

This paper investigates how macro information environments influence the abnormal returns to targets ' rivals at initial M&As announcements. Based on a large sample of M&As deals from 47 countries spanning January 1990 to December 2009, country-wide macro information environments are found to play a significant role in shaping the wealth effects of rivals. More specifically, three dimensions of good quality macro information environments (availability, credibility and diffusion) are empirically verified to be positively related to the announcement abnormal returns to rivals. Further testing shows that our results are robust to an alternative measurement of abnormal returns. Results are also robust to two subsamples by excluding the dominant U.S. market or heavily regulated industries across countries. This empirical evidence also supports the “acquisition probability hypothesis ” at firm level in existing literature (Song and Walkling, Abnormal returns to rivals of acquisition targets: a test of the "acquisition probability hypothesis", Journal of Financia