股份交換之風險套利研究

Abstract

本文探討1999年至2010年台灣上市櫃公司以股份交換之併購過程中之風險套利機會。不同於一般的現金交易，股份交換的風險套利報酬之實現，需藉由同時買進被併公司以及放空主併公司的股份以作避險；同時，最後的獲利也必須由雙方合併結束日之股票價格來決定。研究結果顯示，在92個失敗與成功的合併案件中，風險溢酬與被併公司宣告日前的股價變化是風險套利報酬的顯著因子。而本研究也發現，主併公司在併購結束日前後因發行新股對價造成的股權稀釋，與併購成功案件之風險套利報酬有顯著正相關。另外，本研究也探討併購結果對風險套利報酬之影響。然而，藉由Treatment effects model，本研究並未發現成功的併購結果對風險套利報酬有顯著正面的影響。

This study explores return of risk arbitrage in stock swap trade for the period between 1999 and 2010. Different from cash offers, stock swap merger needs establishments of long and short positions on each acquiring and target side, and not until the resolution date can the risk arbitrage return be determined. By examining ex ante and ex post determinants in 92 merger bids, this study finds that the performance of risk arbitrage return varies significantly to bid premium and pre-bid stock price run-up in target firms; it also supports the argument that the equity change of acquiring firm around the merger completion date is positively related to the risk arbitrage return. Besides, this paper aims to explore the impacts of merger outcome on risk arbitrage return. However, whether by setting treatment effects model or binary regression, this study finds only insignificantly positive relationship between them.