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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王泰昌 | |
| dc.contributor.author | Hung-Ying Chen | en |
| dc.contributor.author | 陳鴻瑛 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:15:22Z | - |
| dc.date.copyright | 2011-08-16 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-08-03 | |
| dc.identifier.citation | 1. Baker, M., and Savasoglu, S. (2002). Limited arbitrage in mergers and acquisitions. Journal of Financial Economics, 64, 91-115.
2. Branch, B., and Yang, T. (2003). Predicting successful takeovers and risk arbitrage. Quarterly Journal of Business and Economics, 42, 3-18. 3. Branch, B., and Yang, T. (2006). The risk of arbitrage performance: Failed acquisition attempts. Quarterly Journal of Business and Economics, 45, 53-68. 4. Branch, B., and Yang, T. (2009). Takeover success prediction and performance of risk arbitrage. Journal of Business & Economic Studies, 15, 10-25. 5. Cornelli, F., and Li, D. (2001) Risk arbitrage in takeovers. Review of Financial Studies, 15, 837-868. 6. Dukes, W., Frohlich, C., and Ma, C. (1992). Risk arbitrage in tender offers. Journal of Portfolio Management, 18, 47-55. 7. Gomes, A. (2001). Takeovers, freezeouts, and risk arbitrage. Unpublished Working Paper, University of Pennsylvania. 8. Harris, M., and Raviv, A. (1988) Corporate control contests and capital structure. Journal of Financial Economics, 20, 55-86. 9. Hoffmeister, J., and Dyl, E. (1981). Predicting outcomes of cash tender offers. Financial Management, 9, 50-58. 10. Hsieh, J., and Walkling, R. (2005). Determinants and implications of arbitrage holdings in acquisitions. Journal of Financial Economics, 77, 605-648. 11. Jarrel, G.A., and Poulsen, A.B. (1989). Stock trading before the announcement of tender offers: insider trading or market anticipation? Journal of Law, Economics, and Organization, 5, 225-248. 12. Jennings, R., and Mazzeo, M.A. (1993). Competing bids, target management resistance and the structure of takeover bids. Review of Financial Studies, 6, 883-909. 13. Jindra, J., and Walkling, R. (2004). Speculation spreads and the market pricing of proposed acquisitions. Journal of Corporate Finance, 10, 495-526. 14. Karolyi, G., and Shannon, J. (1999). Where's the risk in risk arbitrage? Canadian Investment Review, 12, 12-18. 15. Kirchner, T. (2009). Merger Arbitrage: How to Profit from Event-Driven Arbitrage. John Wiley and Sons, 1st Ed, 119-56. 16. Lakonishok, J., and Vermaelen, T. (1990). Anomalous price behavior around repurchase tender offers. Journal of Finance, 45, 455-477. 17. Larcker, D., and Lys, T. (1987). An empirical analysis of the incentives to engage in costly information acquisition: The case of risk arbitrage. Journal of Financial Economics, 18, 111-126. 18. Maheswaran, K., and Yeoh, S.C. (2005). The profitability of merger arbitrage: some Australian evidence. Australian Journal of Management, 30, 111-126. 19. Mitchell, M., and Pulvino, T. (2001). Characteristics of risk arbitrage. Journal of Finance, 56, 2135-2175. 20. Schwert, G.W. (1996). Markup pricing in mergers and acquisitions. Journal of Financial Economics, 41, 153-192. 21. Schwert, G.W. (2000). Hostility in takeovers: in the eyes of the beholder? Journal of Finance, 55, 2599-2640. 22. Stultz, R. (1988). Managerial control of voting rights: Financing policies and the market for corporate control. Journal of Financial Economics, 20, 461-478. 23. Walkling, R. (1985). Predicting tender offer success: A logistic analysis. Journal of Financial and Quantitative Analysis, 20, 461-478. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25485 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:15:22Z (GMT). No. of bitstreams: 1 ntu-100-R98722043-1.pdf: 408398 bytes, checksum: 951252853c3da77ad745e02c469b99db (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 1 Introduction 1
2 Literature Review 5 2.1 Risk arbitrage return 6 2.2 Predicting successful takeover 9 3 Research Design 12 3.1 Data source and selection 12 3.2 Measuring return of risk arbitrage 13 3.3 Testable implication 16 3.4 Model development 18 3.5 Predicting successful merger outcome 22 3.6 Treatment effects model 25 4 Empirical Analysis and Results 28 4.1 Descriptive statistics 28 4.2 Regression analysis for risk arbitrage return 31 4.3 Predicting successful merger outcome 34 4.4 Combining risk arbitrage return and prediction of merger outcome 35 5 Conclusions 36 References 38 | |
| dc.language.iso | en | |
| dc.title | 股份交換之風險套利研究 | zh_TW |
| dc.title | Risk Arbitrage in Stock Swap Merger | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 劉嘉雯 | |
| dc.contributor.oralexamcommittee | 林瑞青,李啟華 | |
| dc.subject.keyword | 風險套利,股份交換,Treatment effects model, | zh_TW |
| dc.subject.keyword | Risk arbitrage,Stock swap,Treatment effects model, | en |
| dc.relation.page | 49 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2011-08-04 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 會計學研究所 | zh_TW |
| 顯示於系所單位： | 會計學系 | |
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