Table 6

Average estimates of the coefficients of the daily share trading volume prediction model for 1,506 NYSE- and Amex-listed target firms that received takeover bids from 1975-91 (omitting target firms with stock prices below $2 per share, with equity capitalization less than $10 million, and for which it takes more than one year from the first bid to conclude the transaction). For each firm, a year of daily share trading volume data is used to estimate the regression,

qit = a0 + r qit-1 + g0 qmt + g1 qmt-1 + nit,

where qit is the growth rate of share trading volume for target firm i on day t and qmt is the growth rate of share trading volume for all shares on the exchange where target firm i is listed on day t, for trading days -379 to -127 relative to the first bid date. The results in this table show the average values of these coefficients and the average t-statistics from these 1,506 regressions. The implied long-run effects of a one percent change in market trading volume growth is also shown (adjusting for the effects of including lagged values of the variables). S(n) is the average standard deviation of the residuals from these regression estimates.

VariableAverage CoefficientAverage t-statistic
Intercept, a00.0010.01
Lagged share volume growth, r0.4137.19
Market share volume growth, g00.7942.71
Lagged market share volume growth, g10.3391.11
Standard error of regression, S(n)0.983
Long-run effects of a one percent change in:
Market share volume, (g0 + g1) / (1 - r)0.800

© Copyright 1996, G. William Schwert
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