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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Merger Arbitrage of Tender Offer----Evidence from China
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 1393-1399)
Author(s): Xiaowei WU, School of Economics and Management, Beijing Jiaotong University, Beijing, China
Jinxin ZHANG, School of Economics and Management, Beijing Jiaotong University, Beijing, China
Jason TUAN, School of Economics and Management, Beijing Jiaotong University, Beijing, China
Abstract: Abstract: 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. Our results reveal that fixed term strategy is better than holding expiry strategy; strategy of opening position at raising limit is better than strategy of opening position at closing price; strategy of opening position on the day of abstract announcement is better on the day of full-text announcement; and suitable arbitrage strategy can get abnormal return in China stock market.
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