本文選題：公司并購 + 風(fēng)險套利��； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：在成熟的股票市場中，風(fēng)險套利是一種常見的投資策略。隨著中國股票市場進(jìn)一步發(fā)展成熟，，上市公司并購逐漸成為影響股價變動的重要因素之一，這也將為風(fēng)險套利者提供更多的投資機(jī)會。本文研究了中國股票市場風(fēng)險套利的收益率，并提出了具有實踐意義的交易策略設(shè)計方法。 文中篩選了從2004年到2011年241例股權(quán)收購案例。被收購方在首次并購公告后股價的超常收益率使用市場模型計算得出，結(jié)果顯示并購事件能產(chǎn)生顯著的超常收益率和累計超常收益率，表明在中國股票市場進(jìn)行風(fēng)險套利能獲得超額收益。 文中使用累計超常收益率作為風(fēng)險套利收益率指標(biāo)，研究能在并購事件中改變投資者對被收購方未來業(yè)績預(yù)期并最終影響累計超常收益率大小的因素�；貧w結(jié)果顯示，如果被收購方市值較小，正面臨財務(wù)困境或經(jīng)濟(jì)效益困境，但資產(chǎn)質(zhì)量或資產(chǎn)運營效率較高，那么并購事件導(dǎo)致的累計超常收益率會較高。此外，如果并購交易使用現(xiàn)金支付，以及公告后第一天的超常收益率較高，那么累計超常收益率也會較高。 基于以上對超常收益率和影響風(fēng)險套利收益率大小的因素的研究，文中提出三種風(fēng)險套利交易策略。三種策略的收益率都超過了對應(yīng)樣本的平均收益率。
[Abstract]:In a mature stock market, risk arbitrage is a common investment strategy. As China's stock market matures further, mergers and acquisitions of listed companies gradually become one of the important factors that affect stock price movements, which will also provide more investment opportunities for risk arbitrages. This paper studies the rate of return of risk arbitrage in Chinese stock market, and puts forward a practical design method of trading strategy. In this paper, 241 cases of equity acquisition from 2004 to 2011 are selected. The abnormal rate of return on the share price of the acquired party after the announcement of the first merger and acquisition is calculated by using the market model. The results show that the merger event can produce a remarkable abnormal rate of return and a cumulative abnormal rate of return. It shows that risk arbitrage in Chinese stock market can obtain excess return. In this paper, the cumulative abnormal rate of return is used as the index of risk arbitrage rate to study the factors that can change investors' expectation of future performance of the acquired party and ultimately affect the cumulative abnormal rate of return in the M & A event. The regression results show that if the acquired party has a smaller market value, is facing financial distress or economic difficulty, but the asset quality or asset operation efficiency is higher, then the cumulative abnormal return rate will be higher. In addition, if mergers and acquisitions use cash payments, and the first day after the announcement of abnormal returns higher, then cumulative abnormal returns will also be higher. Based on the above research on the factors that influence the rate of return of risk arbitrage, three risk arbitrage trading strategies are proposed. The rate of return of all three strategies exceeds the average rate of return of the corresponding sample.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【共引文獻(xiàn)】

相關(guān)期刊論文 前1條

1 符蕾;;我國并購市場的“贏者詛咒”問題研究[J];海南大學(xué)學(xué)報(人文社會科學(xué)版);2013年04期

相關(guān)碩士學(xué)位論文 前1條

1 盧達(dá);LBO交易對公司股價的影響[D];北京郵電大學(xué);2013年

本文編號：1899947