{"title":"风险套利策略背后的宏观经济驱动力","authors":"Stephane Dieudonne, S. Bouacha, F. Cretin","doi":"10.2139/ssrn.1705548","DOIUrl":null,"url":null,"abstract":"This document is a quantitative analysis of risk arbitrage strategy across a sample of 1,911 M&A deals announced between January 1998 and September 2010 in the US and Canada. The study highlights the macroeconomic factors that might affect the risk/yield calculation for a risk arbitrage position. The main factors are: US unemployment, the investor confidence indicator, the investment grade credit spread, P/E and price on the S&P 500, short term interest rates and the yield curve. Ultimately, it is hoped that this document will provide managers with an interpretation of the mergers & acquisitions market as well as a decision-making tool to complement traditional qualitative analysis.","PeriodicalId":230377,"journal":{"name":"ERN: Integration (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Macroeconomic Drivers Behind Risk Arbitrage Strategy\",\"authors\":\"Stephane Dieudonne, S. Bouacha, F. Cretin\",\"doi\":\"10.2139/ssrn.1705548\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This document is a quantitative analysis of risk arbitrage strategy across a sample of 1,911 M&A deals announced between January 1998 and September 2010 in the US and Canada. The study highlights the macroeconomic factors that might affect the risk/yield calculation for a risk arbitrage position. The main factors are: US unemployment, the investor confidence indicator, the investment grade credit spread, P/E and price on the S&P 500, short term interest rates and the yield curve. Ultimately, it is hoped that this document will provide managers with an interpretation of the mergers & acquisitions market as well as a decision-making tool to complement traditional qualitative analysis.\",\"PeriodicalId\":230377,\"journal\":{\"name\":\"ERN: Integration (Topic)\",\"volume\":\"3 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Integration (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1705548\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Integration (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1705548","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This document is a quantitative analysis of risk arbitrage strategy across a sample of 1,911 M&A deals announced between January 1998 and September 2010 in the US and Canada. The study highlights the macroeconomic factors that might affect the risk/yield calculation for a risk arbitrage position. The main factors are: US unemployment, the investor confidence indicator, the investment grade credit spread, P/E and price on the S&P 500, short term interest rates and the yield curve. Ultimately, it is hoped that this document will provide managers with an interpretation of the mergers & acquisitions market as well as a decision-making tool to complement traditional qualitative analysis.
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