An Examination of Merger Arbitrage in Taiwan Stock Market

• Main Authors: Zhih-Wei Wei, 魏志偉
• Other Authors: 林盈課
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/85883895854135310695

碩士 === 國立中興大學 === 財務金融系所 === 96 === The study analyze the spreads of risk arbitrage for the sample of 102 completed merger and acquisition cases during 1999 to 2008.We trace these profits to practical limitations on risk arbitrage , including up-tick rule , price limits, short sale restriction. Results indicated it is overestimated the profits of risk arbitrage when price-limits and, short sale restriction has been excluded. Negative spreads in merger and acquisition cases varied inconsistently ,so we suggest not to involved in such kind of cases. This paper exploits CAPM, Fama-French（1993）three factors and transaction cost to point out that the returns of risk arbitrage can not generate excess return. It is because we have 10 years periods but there are only 102 samples , making us utilize idle funds inefficient. Though risk arbitrage portfolio performance is not good , the spreads of arbitrageable day and the delisted day of target company is larger than 0.It is inconsistent with EMH theory .