風險套利的特性與獲利分析: 以美國融資收購為實證分析

Abstract

本文以風險套利的方法來探討1991至2006年之間美國融資收購的績效。我們的結果顯示以風險套利的方式，針對融資收購的目標公司 所形成的投資組合平均每年報酬率為12%。我們亦將風險套利報酬 率拆解成價差報酬率(收購公司在宣告日宣告的支付價格與投資人 在宣告日買入的價格之差)與修正報酬率；對一般投資人而言，價 差報酬率可視為已知的報酬率，他們將依此報酬率來預期未來的風 險套利報酬與持有目標公司股票的期間。第一部份的實證，主要討 論價差報酬與一些因子的關聯性，我們發現價差報酬與持有期間、 購併溢酬呈正相關，與修正報酬率呈負相關。第二實證結果的部分 ，我們應用羅吉斯迴歸模型發現股價淨值比越高的公司，其股價在 收購過程中越容易向下修正。整體而言，風險套利的獲利能力取決 於三個因子：持有期間、購併溢酬、股價淨值比。

This paper explores the performance of leveraged buyouts on risk arbitrage over the period of 1991-2006. Our results reveal that a portfolio of risk arbitrage positions in leveraged buyouts produces annual arbitrage returns of 12%. By dividing risk arbitrage returns to spread returns (the percentage difference between the offer price and market price on the announcement date) and revision returns, we model spread returns as the visible component of total risk arbitrage returns, because investors would set spread returns to anticipate expected arbitrage returns and the period of deals. We discuss the relationship between spread returns and some determinants of deals, and find that spreads returns are significantly negatively related to the magnitude of price revision and significantly positively related to offer duration and bid premium. The second empirical result is that the Logistic regression model provides the evidence that target firms with higher price-to-book ratio (P/B) tend to reverse their prices during the period of deals. Overall, these findings indicate that the profitability of risk arbitrage on leveraged buyouts is influenced by the bid premiums, duration and P/B.