Can merger arbitrage,which is a proven efficient investment strategy,also be used in Chinese stock market? Based on all the 33 tender offers in China stock market for the period between 2003 and 2008,we set up an investment portfolio including 8 active deals and explore the performance of several risk arbitrage strategies.
并购套利这种在成熟资本市场惯用的投资策略是否也适合在中国证券市场中应用?本文考察了沪深两市从2003年至2008年所有的33宗要约收购案例,根据套利要求选取8宗构建投资组合,并运用事件研究法与时间序列法检验了该投资组合若干种套利策略的收益。