Determinants and implications of arbitrage holdings in acquisitions

• 成果类型: Article
• 署名作者: Hsieh, J; Walkling, RA
• 署名单位: University System of Ohio; Ohio State University; George Mason University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.003
• 发表日期: 2005
• 页码: 605-648
• 关键词: mergers; arbitrage; Market for corporate control

摘要

We find evidence of passive and active roles for arbitrageurs in the acquisition process. Using a simultaneous-equation framework to recognize endogeneity, we analyze 608 acquisition bids over the 1992-1999 period. Our results indicate that the change in arbitrage holdings is greater in successful offers. However, changes in arbitrage holdings are also related to the probability of success, bid premia, and arbitrage returns. In addition, the change in arbitrage holdings is positively associated with both revision returns and the occurrence of subsequent bids. Overall, we find that merger arbitrageurs play an important role in the market for corporate control. (c) 2005 Elsevier B.V. All rights reserved.