This paper examines how a target firm's trading volume, bid-ask spread, and stock return volatility respond over a two-week period to the announcement of M&A deals ("nonprice reactions"). I find that these variables are strongly correlated with changes in risk arbitrageurs' holdings surrounding...

We show that M&A deals that are announced when the bidder's relative value (ratio of bidder's equity value to target's equity value) is closer to its 52-week high feature higher offer premium, lower (higher) announcement returns for the bidding (target) firm, and are more likely to fail, all...