Macroeconomic news and acquirer returns in M&As : the impact of investor alertness

We investigate the extent to which the scheduled release of macroeconomic indicators affects the acquirer's value in Mergers and Acquisitions (M&As). We find that M&As announced on days of the release of key macroeconomic indicators (i.e. indicator days) realize higher announcement period risk-adjusted returns compared to counterparts announced on non-indicator days. The positive wealth effect is due to the higher market attention on indicator days, which is particularly relevant for smaller M&As that are not usually exposed to significant investor scrutiny. The results hold after addressing self-selection bias concerns. We also find that firms announcing M&As on indicator days are more likely to “listen” to the market's feedback.