| In recent years,the increasing frequency of tender offer activities has created new investment opportunities for investors in the securities market.Among them,tender offer arbitrage activities are the most prominent.Because the tender offer price is often higher than the latest closing price of the target stock,the emergence of this spread has attracted arbitrageurs in the securities market,and arbitrage activities in tender offers have become increasingly frequent.However,as an important arbitrage activity in the securities market,tender takeover arbitrage is not easy,and there are two main factors: first,the takeover bid itself must be finally completed,not suspended or terminated;second,Arbitrageurs are not without risks in the process of arbitrage,but also have to overcome various risks in the process of arbitrage.Therefore,studying the factors that affect the success or failure of a tender offer and the risk of arbitrage in a tender offer is of great significance in guiding the arbitrage of a tender offer.Aiming at the factors affecting the success or failure of a tender offer,this paper conducts an empirical analysis by using Logit model modeling to study the main factors that affect the probability of success of a tender offer,thereby exploring which major variables an arbitrageur should pay attention to when choosing an offer to take stock.This article collected a total of 76 valid data after the 2005 share split reform as sample data,selected the tender offer premium,the tender offer ratio,and the acquirer's share of the target company as the core variables,and added a tender offer announcement on this basis The three variables of the market's rise and fall,the type of tender offer,and whether the acquired company is a high-tech industry are one month before the launch.The empirical results show that the two variables of the tender offer premium and the share of the target company's shares held by the acquirer are positively correlated with the probability of successful tender offer,and the other four variables are negatively correlated with the probability of successful tender offer,but only the tender offer ratio The effect on the probability of a successful tender offer is significant.Therefore,arbitrageurs should pay attention tothe premium of the tender offer,the proportion of the target company's shares held by the tenderer,and the tender offer when choosing an offer to arbitrage.Aiming at the problem of arbitrage risk in tender offer,this paper uses the theory of limited arbitrage in behavioral finance to select two stocks for case analysis.According to the theory of limited arbitrage,the arbitrage process is not completely risk-free,but full of risks,especially the existence of fundamental risks,noise traders' risks,and transaction costs.To be successful,arbitrageurs must consider how to overcome these problems.This article selected Jidong Cement and Qianjiang Water Conservancy as the targets of arbitrage in the tender offer based on the above three main factors.The tender offer of these two companies was also successful after the fact.The arbitrage space of these two stocks is relatively large compared to the transaction cost.In terms of arbitrage strategies,this article constructs synthetic securities that are highly related to the target securities yield,and sells 1 synthetic securities when buying 1 Control fundamental risks.However,the two cases of arbitrage by tender offer have very different results.One arbitrage succeeded and the other failed.This article argues that the problem is that the risk of noise traders is difficult to control.Therefore,even if the arbitrageur selects the stock that will eventually be successfully tendered for acquisition,it may not be able to profit in the arbitrage process.The arbitrageur must consider the noise trader risk.The research results of this paper can provide a reference for investors in the stock market to make arbitrage decisions in tender offers. |
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