Limited arbitrage in mergers and acquisitions

• 成果类型: Article
• 署名作者: Baker, M; Savasoglu, S
• 署名单位: Harvard University; Morgan Stanley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00072-7
• 发表日期: 2002
• 页码: 91-115
• 关键词: arbitrage; Mergers and Acquisitions; market efficiency

摘要

A diversified portfolio of risk arbitrage positions produces an abnormal return of 0.6 0.9% per month over the period from 198 1 to 1996. We trace these profits to practical limits on risk arbitrage. In our model of risk arbitrage, arbitrageurs' risk-bearing capacity is constrained by deal completion risk and the size of the position they hold. Consistent with this model, we document that the returns to risk arbitrage increase in an ex ante measure of completion risk and target size. We also examine the influence of the general supply of arbitrage capital, measured by the total equity holdings of arbitrageurs, on arbitrage profits. (C) 2002 Elsevier Science B.V, All rights reserved.