政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130522

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130522

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/130522

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/130522

Title:	模擬套利策略對併購套利收益之影響 The effect of arbitrage strategy on M&A arbitrage benefits
Authors:	邱于君 Chiu, Yu-Chun
Contributors:	吳啟銘邱于君 Chiu, Yu-Chun
Keywords:	併購套利併購成功機率套利收益 Risk arbitrage M&A success probability Arbitrage return
Date:	2019
Issue Date:	2020-07-01 13:37:09 (UTC+8)
Abstract:	本文研究利用 SDC 和 CRSP 的資料進行研究，建構了一個併購套利策略，將併購成功機率模型、必要報酬等納入考量，作為是否啟動套利的判斷依據，主要在模擬此策略的執行和併購套利收益之間的關係，並比較它與一般套利策略的不同，檢視此策略的流程設計是否能改善套利收益。延續了過去研究發現，現金支付、友善程度、主併公司負債比率等因子能有效預測併購成功機率。同時，我們也更進一步發現，是否啟動套利的判斷以及溢價能有效地解釋套利收益，而且啟動與不啟動這兩個群組之間存在顯著的報酬差異，所以將預測模型、必要報酬等判斷依據納入考量確實可以改善套利報酬。針對未來的研究建議，本文研究主要專注在美國市場，對於資訊不發達、資訊品質落後的地區多半無法使用 Logit 模型。而在設計套利流程時可以設想適用的對象，因為一般投資人和機構法人在資源上有所不同。最後，本文研究的策略並沒有隨著併購過程的推進而調整，若要確保下方風險則需要持續的追蹤和調整才能避免發生重大損失。 This study uses SDC and CRSP data to investigate the implementation of arbitrage strategy when there comes a merger and acquisition event. In this paper we taking probability model and required rate of return into account, as a judgment for determining whether to start arbitrage strategy or not. Our main purpose is to simulate the implementation of this strategy and calculate its return, finding the relationship between the two, and compare it with the naive arbitrage strategy, to see if the process design of this strategy can improve the arbitrage benefits. According to the previous research, the factors such as cash payment, friendiness, and debt ratio of acquired company can effectively predict the probability of successful M&A in our study. At the same time, we have further discovered that whether the arbitrage judgment and premium can explain the arbitrage return, and there is a significant difference between the start group and the other, so taking this judgment process into account can indeed improve arbitrage benefit. For future research, this study focuses on the US market, but for those regions with poor information quality cannot use the Logit model and need to apply other predicting methods. On the other hand, the arbitrage process need to be redesigned for different investors, because the general and institutional investor have different sources of M&A information. Furthermore, the strategy in this paper has not adjusted as the M&A process progressing, in order to ensure the downside risk, tracking and adjustment are needed to avoid severe losses.
Reference:	Agrawal, V., Kothare, M., Rao, R. K., & Wadhwa, P. (2004). Bid-ask spreads, informed investors, and the firm’s financial condition. The Quarterly Review of Economics and Finance, 44(1), 58-76. Baker, M., & Savaşoglu, S. (2002). Limited arbitrage in mergers and acquisitions. Journal of Financial Economics, 64(1), 91-115. Branch, B., & Yang, T. (2003). Predicting successful takeovers and risk arbitrage. Quarterly Journal of Business and Economics, 3-18. Branch, B., & Yang, T. (2006). A test of risk arbitrage profitability. International Review of Financial Analysis, 15(1), 39-56. Cao, C., Goldie, B. A., Liang, B., & Petrasek, L. (2016). What is the nature of hedge fund manager skills? Evidence from the risk-arbitrage strategy. Journal of Financial and Quantitative Analysis, 51(3), 929-957. Cotter, J. F., Shivdasani, A., & Zenner, M. (1997). Do independent directors enhance target shareholder wealth during tender offers?. Journal of financial economics, 43(2), 195-218. Dukes, W. P., Frohlich, C. J., & Ma, C. K. (1992). Risk arbitrage in tender offers. Journal of Portfolio Management, 18(4), 47. Harris, M., & Raviv, A. (1988). Corporate control contests and capital structure. Journal of financial Economics, 20, 55-86. Hoffmeister, J. R., & Dyl, E. A. (1981). Predicting outcomes of cash tender offers. Financial Management, 50-58. Jennings, R. H., & Mazzeo, M. A. (1993). Competing bids, target management resistance, and the structure of takeover bids. The Review of Financial Studies, 6(4), 883-909. Jindra, J., & Walkling, R. A. (2001). Speculation spreads and the market pricing of proposed acquisitions. Lin, L., Lan, L. H., & Chuang, S. S. (2013). An Option‐Based Approach to Risk Arbitrage in Emerging Markets: Evidence from Taiwan Takeover Attempts. Journal of Forecasting, 32(6), 512-521. Mitchell, M., & Pulvino, T. (2001). Characteristics of risk and return in risk arbitrage. the Journal of Finance, 56(6), 2135-2175. Raad, E., & Ryan, R. (1995). Capital structure and ownership distribution of tender offer targets: An empirical study. Financial Management, 46-56. Safieddine, A., & Titman, S. (1999). Leverage and corporate performance: Evidence from unsuccessful takeovers. The Journal of Finance, 54(2), 547-580. Schwert, G. W. (2000). Hostility in takeovers: in the eyes of the beholder?. The Journal of Finance, 55(6), 2599-2640. Stulz, R. (1988). Managerial control of voting rights: Financing policies and the market for corporate control. Journal of financial Economics, 20, 25-54.
Description:	碩士國立政治大學財務管理學系 106357010
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0106357010
Data Type:	thesis
DOI:	10.6814/NCCU202000509
Appears in Collections:	[Department of Finance] Theses

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