台灣風險套利績效及併購完成機率預測之研究

The Performance of Risk Arbitrage in Taiwan and the Prediction of Takeover Completion Probability

李國榮(Kuo-Jung Lee)；呂素蓮(Su-Lien Lu)；陳維民(Wei-Min Chen)

風險套利 ； 併購績效 ； 多頭空頭 ； 併購完成機率 ； Risk Arbitrage ； Takeover Performance ； Bull And Bear Market ； Takeover Completion Probability

企業管理學報

83期（2009 / 12 / 01）

33 - 64

繁體中文

風險套利又稱為併購套利，是一種用來套取收購價和宣告日後被併公司股價價差的投資策略。如果併購成功完成，套利者有機會賺取套利價差；如果併購失敗，則套利者很可能遭受損失。本研究探討套利投資組合的績效及套利者是否能在宣告日預測併購結果。實證結果發現，套利事件報酬爲3.73%，超額報酬爲2.74%。此外套利投資組合可賺得1.5%的月超額報酬率，其波動率低於大盤，我們也發現風險套利在空頭時期的報酬率高於多頭時期。本文使用logistic、probit迴歸及交換選擇權方法等三種機率預測模型來預測併購結果，前二者總正確率約爲80%，高於交換選擇權法，然而3種模型對實際失敗案例的預測度皆不高。被併公司的相對規模對併購成功有負面影響，主併公司在宣告前的持股及現金併購可以提高併購成功機率，併購溢價對成功機率沒有顯著的影響。

Risk arbitrage, also called merger arbitrage, is an investment strategy that arbitrageur tries to lock the spread between offer price and post-announcement price of target company. If merger successes, the arbitrageur have opportunity to profit from the arbitrage spread. However, if the merger fails, the arbitrageur may incur a loss. This paper studies the performance of risk arbitrage portfolio and explore whether we can predict the outcomes of merger on announcement date. The empirical result indicates that average event return of arbitrage is 3.73% and excess event return is 2.74%. Arbitrage portfolio generates 1.5% abnormal return per month, and the volatility of arbitrage is less than market index. In addition, we find that risk arbitrage return in bear market is higher than that in bull market. We use three approaches including logistic regression, probit regression and exchange options to predict the probability of merger success. The two first models have total accuracies about 80%, which are higher than that of exchange options approach. The three models all have weak prediction performances on actually failed mergers. Besides, the relative sizes of target companies have negative effect on merger success. The ownerships of target companies hold by acquiring companies before announcement date and cash mergers can increase the probability of mergers success. The takeover premium has no significant effect on mergers success.

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