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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 1-Jul-2020 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 takingprobability 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 simulatethe 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 asignificant 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 predictingmethods. 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&Ainformation. 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 areneeded 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 dc.contributor.advisor 吳啟銘 zh_TW dc.contributor.author (Authors) 邱于君 zh_TW dc.contributor.author (Authors) Chiu, Yu-Chun en_US dc.creator (作者) 邱于君 zh_TW dc.creator (作者) Chiu, Yu-Chun en_US dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2020 13:37:09 (UTC+8) - dc.date.available 1-Jul-2020 13:37:09 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:37:09 (UTC+8) - dc.identifier (Other Identifiers) G0106357010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130522 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357010 zh_TW dc.description.abstract (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。 zh_TW dc.description.abstract (摘要) 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 takingprobability 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 simulatethe 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 asignificant 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 predictingmethods. 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&Ainformation. 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 areneeded to avoid severe losses. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究內容與架構 2第二章 文獻回顧 5第一節 影響併購套利收益之研究 5第二節 影響併購成功因素之研究 7第三章 研究方法 9第一節 數據來源 9第二節 研究假設 11第三節 策略流程與模型選用 12壹、 併購套利策略流程 12貳、 併購成功機率模型 15第四章 實證結果分析 17第一節 敘述統計 17第二節 驗證假說一實證結果 21壹、影響併購成功機率之迴歸分析 21貳、持有期間報酬之迴歸分析 23第三節 驗證假說二實證結果 25第五章 結論與建議 27參考文獻 29 zh_TW dc.format.extent 1854159 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357010 en_US dc.subject (關鍵詞) 併購套利 zh_TW dc.subject (關鍵詞) 併購成功機率 zh_TW dc.subject (關鍵詞) 套利收益 zh_TW dc.subject (關鍵詞) Risk arbitrage en_US dc.subject (關鍵詞) M&A success probability en_US dc.subject (關鍵詞) Arbitrage return en_US dc.title (題名) 模擬套利策略對併購套利收益之影響 zh_TW dc.title (題名) The effect of arbitrage strategy on M&A arbitrage benefits en_US dc.type (資料類型) thesis en_US dc.relation.reference (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. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000509 en_US
