政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130522
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113324/144300 (79%)
造訪人次 : 51116277      線上人數 : 786
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/130522


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/130522


    題名: 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
    作者: 邱于君
    Chiu, Yu-Chun
    貢獻者: 吳啟銘
    邱于君
    Chiu, Yu-Chun
    關鍵詞: 併購套利
    併購成功機率
    套利收益
    Risk arbitrage
    M&A success probability
    Arbitrage return
    日期: 2019
    上傳時間: 2020-07-01 13:37:09 (UTC+8)
    摘要: 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.
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    財務管理學系
    106357010
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0106357010
    資料類型: thesis
    DOI: 10.6814/NCCU202000509
    顯示於類別:[財務管理學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    701001.pdf1810KbAdobe PDF20檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋