Characteristics of Risk Arbitrage Portfolio in Taiwan
碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === This paper examines the performance of risk arbitrage in Taiwan. Benchmarking the returns on the risk arbitrage portfolio against the CAPM and Fama-French three-factor models, the risk arbitrage portfolio produces an abnormal return of 1% per month over the per...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/de9fs6 |