收购和投资组合回报预测

Georgios Ouzounis, Chrysovalantis Gaganis, C. Zopounidis
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引用次数: 19

摘要

近几十年来,由于各种利益相关者的经济重要性,股票市场收购的预测和预测受到越来越多的关注。本研究包括两个阶段:处理预测模型的发展及其在投资策略中的后续使用。在第一阶段,我们探索预测英国上市公司收购的能力。在分析的第二阶段,我们探讨是否有可能通过投资于由预测目标组成的投资组合来获得异常回报。培训样本包括658家上市公司,其中一半在2001年至2005年期间被收购。验证样本包括1,576家上市公司,其中416家在2006年被收购。结果表明,投资期限和投资方法的不同,投资组合产生的异常收益最高可达4.78%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Prediction of Acquisitions and Portfolio Returns
Over recent decades, the forecasting and prediction of stock market acquisitions have been subject to increased interest due to the economic importance for various stakeholders. This study consists of two stages: dealing with the development of prediction models and their subsequent use within an investment strategy. During the first stage, we explore the ability to predict the acquisition of listed firms in the UK. In the second stage of the analysis, we explore whether it is possible to earn abnormal returns by investing in portfolios consisted of the predicted targets. The training sample includes 658 listed companies half of which were acquired between 2001 and 2005. The validation sample consists of 1,576 listed firms, of which 416 were acquired during 2006. The results indicate that the portfolios can generate abnormal returns of up to 4.78% depending on the investment horizon and the methodology employed.
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