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 acquirer’s value in Mergers and Acquisitions (M&A). 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. This positive wealth effect is due to the higher market attention on indicator release dates, which is particularly relevant for smaller M&As that tend to have low degrees of investor scrutiny. The results hold after addressing self-selection bias concerns. We also find that firms that announce M&As on indicator days are more likely to “listen” to the market’s feedback.