并购套利的盈利能力和风险收益特征

IF 2.2 3区 经济学 Q2 BUSINESS, FINANCE
P. Sudarsanam, Dzung V. Nguyen
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引用次数: 5

摘要

本研究以1987-2007年期间英国1105宗现金和股票并购为样本,首次提供了英国市场并购套利策略的盈利能力和风险回报特征的实证证据。与其它市场的调查结果一致,英国并购套利投资组合在风险调整基础上是盈利的。结果对一系列控制风险的方法具有鲁棒性。本研究最重要的贡献在于揭示了并购监管如何影响并购套利策略的风险收益特征。几乎没有证据表明,英国并购套利组合表现出任何非线性风险回报模式。这一发现符合英国《收购法》(Takeover Code)对竞标者反悔出价能力的限制。结合美国和澳大利亚在各自司法管辖区不同程度的此类限制下的证据,该法规的影响得到了证实。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
UK Evidence on the Profitability and the Risk-Return Characteristics of Merger Arbitrage
On a sample of 1105 UK cash and stock mergers over the period of 1987-2007, this study is the first to provide empirical evidence about the profitability and the risk-return characteristic of the merger arbitrage strategy in the UK market. Consistent with the findings in other markets, the UK merger arbitrage portfolios are profitable on risk-adjusted basis. The result is robust to a range of methods to control for risk. The most important contribution of this study is to show how takeover regulations can affect the risk-return characteristics of the merger arbitrage strategy. There is little evidence that the UK merger arbitrage portfolios exhibit any non-linear risk-return pattern. The finding is in line with restrictions imposed by the UK Takeover Code on the bidder's ability to renege on the bid. Combined with the US and Australian evidence under varying degree of such restrictions in these respective jurisdictions, the regulation impact is confirmed.
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来源期刊
European Journal of Finance
European Journal of Finance BUSINESS, FINANCE-
CiteScore
5.40
自引率
8.00%
发文量
72
期刊介绍: The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.
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