An option-based approach to risk arbitrage in emerging markets: Evidence from Taiwan takeover attempts

Luke Lin, Li Huei Lan, Shuang Shii Chuang

研究成果: Article同行評審

2 引文 斯高帕斯(Scopus)

摘要

Predicting the accuracy rate of takeover completion is the major key to risk arbitrage returns. In emerging markets, data on takeover attempts are either unavailable or of poor quality. Therefore, this paper proposes an option-based approach to improve the accuracy of prediction. Empirical research on Taiwan takeovers shows that by this approach, the accuracy rate is 71.15%-considerably higher than the average of 54.81% using qualitative models. There exist, on average, three opportunities to close arbitrage positions, at a time before completion dates, when the target and acquiring stock prices converge. The annualized abnormal return is 42.19% greater than it would otherwise be.

原文English
頁(從 - 到)512-521
頁數10
期刊Journal of Forecasting
32
發行號6
DOIs
出版狀態Published - 2013 九月 1

All Science Journal Classification (ASJC) codes

  • 建模與模擬
  • 電腦科學應用
  • 策略與管理
  • 統計、概率和不確定性
  • 管理科學與經營研究

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