| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 96 === 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.
|
|---|
