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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
dc.contributor.author | Yi-Chen Huang | en |
dc.contributor.author | 黃羿禎 | zh_TW |
dc.date.accessioned | 2021-05-19T17:41:59Z | - |
dc.date.available | 2029-07-13 | |
dc.date.available | 2021-05-19T17:41:59Z | - |
dc.date.copyright | 2019-06-05 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-06-04 | |
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/7354 | - |
dc.description.abstract | 預測併購事件成功率的精準度是併購套利獲利的重要因素。一般於歐美等已開發國家所運用的質性預測模型多半無法使用在資訊較不公開的國家或開發中國家,因為這些區域對於併購資訊取得不易或品質不佳。因此,需要採Lin, Lan and Chuang(2013)中的選擇權量化模型進行預測。
本篇研究則以2000/1/1至2018/9/30宣告之台灣與香港純現金或純股權交換的併購事件為樣本。當量化模型預測為成功後,再執行併購套利策略。並且仿照併購套利基金計算報酬方式,以持有部位之日報酬為準。分別與未使用預測模型和股市加權指數相比較報酬率與報酬率之標準差。實證結果顯示本篇之預測與套利策略於台灣較香港更能展現效果而獲得較平穩的報酬與標準差。分別與該市場股市加權指數相比後,也是在台灣有較好的效果。 | zh_TW |
dc.description.abstract | Predicting the success accurately of M&A events is one of the key factors for merger arbitrage returns. Most of the qualitative prediction models used in developed countries such as Europe and the U.S.A. cannot be used in emerging countries or those countries where the information is less transparent because data are either difficult to retrieve or of poor quality. Therefore, this paper adopts the option-based quantitative prediction models in Lin, Lan and Chuang (2013).
This paper analyzes the samples of Taiwanese and Hong Kong pure cash or pure stock exchange merger and acquisition events announced during 2000/1/1 to 2018/9/30. When the quantitative model predicts the event would be successful, the merger arbitrage strategy would then be applied. The return is calculated as merger arbitrage mutual funds under the daily base. Next, the daily returns and the standard deviation of them after using the prediction model are compared with those unused and the stock market index. The empirical results show that the arbitrage strategy after applying the prediction models is more effective in Taiwan than in Hong Kong. It has smoother returns and lower standard deviation. In addition, after comparing with the stock market index, it also shows a better effect in Taiwan. | en |
dc.description.provenance | Made available in DSpace on 2021-05-19T17:41:59Z (GMT). No. of bitstreams: 1 ntu-108-R05723040-1.pdf: 1005588 bytes, checksum: eae8c3f72fa858c51a222e29671498bd (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | 第一章、緒論 1
第二章、文獻回顧 3 第三章、研究方法 7 第四章、統計模型與結果 13 第一節、敘述統計 13 第二節、選擇權模型的預測成功率 17 第三節、建立併購套利策略 21 第五章、併購套利基金報酬探討 25 第六章、結論 27 第一節、結論 27 第二節、未來研究建議 28 參考文獻 29 附錄 33 | |
dc.language.iso | zh-TW | |
dc.title | 台灣與香港併購套利策略可行性之探討 | zh_TW |
dc.title | The Feasibility of Merger Arbitrage Strategy In Taiwan and Hong Kong Stock Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 107-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳業寧(Yeh-Ning Chen),王衍智(Yan-Zhi Wang) | |
dc.subject.keyword | 併購套利,台灣併購,香港併購,現金併購,股權交換併購,併購機率預測, | zh_TW |
dc.subject.keyword | Mergers and Acquisitions,Taiwan Mergers and Acquisitions,Hong Kong Mergers and Acquisitions,Cash Mergers and Acquisitions,Stock Exchange Mergers and Acquisitions,Mergers and Acquisitions Prediction, | en |
dc.relation.page | 33 | |
dc.identifier.doi | 10.6342/NTU201900841 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2019-06-04 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
dc.date.embargo-lift | 2029-07-13 | - |
顯示於系所單位: | 財務金融學系 |
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