要约收购的风险套利策略——以中国股票市场为例  

Merger Arbitrage Strategy of Tender Offer:Evidence from China

作　　者：张金鑫[1] 吴晓伟[2] 段嘉尚[2] 

机构地区：[1]北京交通大学中国企业兼并与重组研究中心 [2]北京交通大学经济管理学院

出　　处：《中大管理研究》2009年第4期90-104,共15页China Management Studies

基　　金：高等学校博士学科点专项科研基金资助(项目号:B08C10020)

摘　　要：并购套利这种在成熟资本市场惯用的投资策略是否也适合在中国证券市场中应用?本文考察了沪深两市从2003年至2008年所有的33宗要约收购案例,根据套利要求选取8宗构建投资组合,并运用事件研究法与时间序列法检验了该投资组合若干种套利策略的收益。研究得出如下结论:(1)持有固定期限策略比持有至到期策略获得更高收益;(2)涨停板建仓策略比收盘价建仓策略获得更高的收益;(3)摘要公告建仓策略比全文公告建仓策略获得更高的收益;(4)在中国资本市场采用适当的套利策略,可以获得超额收益。Can merger arbitrage, which is a proven efficient investment strategy, also be used in Chinese stock market？ Based on all the 33 tender offers in China stock market for the period between 2003 and 2008, we set up an investment portfolio including 8 active deals and explore the performance of several risk arbitrage strategies. Our results reveals that fixed term strategy is better than holding expiry strategy, strategy of opening position at raising limit is better than strategy of opening position at closing price, strategy of opening position on the day of abstract announcement is better on the day of full-text announcement, and suitable arbitrage strategy can get abnormal return in China stock market.

关 键 词：要约收购 并购套利 风险套利 套利策略 

分 类 号：F832.51[经济管理—金融学]