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Merger arbitrage : opportunities left for financial mavericks in the new millenium?

Glans, Christian; Vo, Peter
Master thesis
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Glans_og_Vo_2013.pdf (1.295Mb)
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http://hdl.handle.net/11250/170096
Utgivelsesdato
2013
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  • Master Thesis [3377]
Sammendrag
This paper analyses 2 005 mergers and acquisitions in the period from 2000 to

2012 in order to investigate merger arbitrage excess return. Merger arbitrage is

an investment strategy that takes advantage of the di erence between the share

price and the o er price of a target share after the announcement of a merger or

an acquisition bid. The analysis is based on a methodology of creating merger

arbitrage portfolios to realistically replicate the returns possible to achieve

for merger arbitrage professionals. To test the signi cance of the results, the

returns are tested with the linear regression models CAPM and Fama-French.

Finally, the paper also investigates the notion that a piecewise linear model

might be a better tool for performance measurement of merger arbitrage.

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