Analysis Of Merger Arbitrage Return And Influence Factor On China Securities Market

M&A arbitrage,as a derivative of M&A transaction,has attracted lots of risk arbitrageurs to pursue arbitrage opportunities by buying target companies stocks and selling out acquiring companies stocks even since its first days.By contrast, A-share market has set up far behind its foreign counterParts. Thus,unlike the mature M&A market in the USA and Europe, M&A transactions in A-share market has shown a different face of insider information leaking and buying assets from controlling stockholders in cash as the main transaction model.Factors such as the under-developmen of modern enterprise system in most listed companies, the lack of market supervision mechanism high speculation and the restrictions of services rovided by Professional financial intermediaries have contributed to the unique characteristics of M&A transaetionsin China.Accordingly, M&A arbitrage in A-share market in somehow different from the common practice which we believe work in other M&A arbitrage markets.This research has seven chapters.the thesis mentality and the structure arrangement like follows:the first chapter introduces the research background,research contents, research methods and research program.The second chapter reviews other scholars' research in payment pattern, excess return, empirical methods, the influence factors of M&A arbitrage. The third chapter introduces current situation of M&A arbitrage in China and typical countries.High spot reserch China M&A arbitrage's mode and payment. The fourth chapter introduce the data resource,research assumption and modal. The fifth chapter calculates 2006-2009 about 119 samples'excess accumulate return and made one-factor analysis of variance according to the difference between excess retern positive or negative,then significant variables will be consider as independent variables to multiple regression, at last,I will get result of the merger arbitrage strategy.This study has the following results:(1)Excess accumulate return of samples during 2005-2009 is 28.1% by event study,it is about 5.62% per year. Cash tender generate annual excess accumulate return of 1.91% per year.Stock swap tender generate annual excess accumulate return of 14.61% per year.By time series method wo find excess accumulate return has some change direction with security market return. (2) Choose transactions which has larger scale,without prior rising price.with notice issued subject and pay in securities. With proper attention to with shell resources and restructure issue's shallow bid.