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| 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. |
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| 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: | [財務管理學系] 學位論文
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