請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/23510
標題: 併購在台灣之套利研究
An Examination of Merger Arbitrage in Taiwan Stock Market
作者: 魏志偉
Wei, Zhih-Wei
關鍵字: merger and acquisition
換股合併
merger arbitrage
risk arbitrage
arbitrage spread
公開收購
風險套利
套利價差報酬率
出版社: 財務金融系所
引用: 林晏良 (2006) 換股交易購併之風險套利,國立高雄第一科技大學企業管理研究所碩士論文 張美珍 (2007) 企業併購之套利機會分析,國立中山大學財務管理研究所碩士論文 陳增燮 (2007) 台灣風險套利投資組合績效實證,國立中山大學財務管理研究所碩士論文 許嘉津 (2007) 台灣市場股價評價、合併溢價與購併報酬之探討,國立臺灣大學財務金融研究所碩士論文 詹昆霖 (2007) 併購交易之價值創造管理模式─談判、架構設計與締約,國立台灣大學商學研究所碩士論文 黃幼玲 「台灣購併市場發展現況與趨勢」,證券櫃檯月刊第119期,22-26 徐俊明 財務管理理論與實務 (三版) 謝劍平 財務管理新觀念與本土化 (四版) 戴泰元 台灣公開收購發展軌跡及未來趨勢,勤業眾信通訊2007年3月號,15-19 Baker, M., and Savasoglu, S.,(2002). Limited arbitrage in mergers and acquisitions. Journal of Financial Economics, 64, 91–115. Branch, B., and Yang, T. W.,(2001). Merger arbitrage: Evidence of profitability. Journal of Alternative Investments, 4, 17–32. Branch, B., and Yang, T. W.,(2003). Predicting successful takeovers and risk arbitrage. Quarterly Journal of Business and Economics, 42, 1 – 18. Branch, B., and Yang, T. W. ,(2006). The risk arbitrage performance: Failed acquisition attempts. Quarterly Journal of Business and Economics, 45, 53– 68. Branch, B. and Yang, T. W. ,(2006) A Test of Risk Arbitrage Profitability. International Review of Financial Analysis, 15, 39-56 Bradley, Desai, and Kim, .(1988) Gains From Corporate Acquisitions and Their Division Between the Stockholders of Target and Acquiring Firm Journal of Financial Economics, May., 3-40. Duke, W., Frohlich, C., & Ma, C. ,(1992). Risk arbitrage in tender offers. Journal of Portfolio Management, 18, 47– 55. Fama, E., ,(1998) Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics, 49 (3), 283-306. Fama, E. and French, K. ,(1993) Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56 Hansen, R. ,(1987). A theory for the choice of exchange medium in mergers and acquisitions. Journal of Business, 60, 75–95. Jindra, J., & Walkling, R. ,(2001). Speculation spreads and the market pricing of proposed acquisitions. Working paper, Ohio State University. Karolyi, G. Andrew, and John Shannon ,(1998). Where’s the risk in risk arbitrage? Working paper, Richard Ivey School of Business, The University of Wstern Ontario. Maxheim ,Christoph,(2007).Merger arbitrage in Austria, Germany and Switzerland. Working paper, University of Basel Mitchell, M,, T, Pulvino,(2001). Characteristics of risk in risk arbitrage. Journal of Finance, 56, 2135–2175. Mitchell, M,, T, Pulvino, and E, Stafford,(2002) Limited Arbitrage in Equity Markets, Journal of Finance 57, 551-584. Mitchell, M,, T, Pulvino, and E, Stafford,(2004) Price Pressure around Mergers, Journal of Finance, 59, pp, 31—63, Shleifer, Andrei, and Robert Vishny,(1997) The limits of arbitrage, Journal of Finance 52, 35-55.
摘要: 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 .
本文欲探討真實世界套利限制之下的風險套利價差報酬率,所使用樣本為1999年12月至2008年3月宣告以換股合併或是現金併購為對價之合併與收購案例。資本市場交易限制包含平盤之下不得放空、漲跌幅限制、融券回補等機制。實證結果發現,若不考慮漲跌幅限制與融券回補會高估了風險套利的套利價差報酬率,另外本研究認為擁有負價差的樣本的價差變動並不一致,因此不建議納入台灣地區風險套利投資組合。 本研究分析風險套利投資組合,採用調整市場模式CAPM、Fama-French(1993)三因子模式,考慮交易成本以及真實世界資本市場交易限制,實證結果指出風險套利投資組合無法產生超額報酬。推測因為台灣地區併購樣本數較少,資金使用效率不佳,使得機會成本過高。雖然風險套利基金的表現不佳,但風險套利之可套利日與被併公司下市日前一日之價差報酬率卻顯著大於0,推測為資訊不對稱導致與效率市場理論不符。
URI: http://hdl.handle.net/11455/23510
其他識別: U0005-2206200814331400
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2206200814331400
顯示於類別:財務金融學系所

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