This paper examines the performance of risk arbitrage in Taiwan. Benchmarking the returns on the risk arbitrage portfolio against the CAPM and Fama-French three-factor models, the risk arbitrage portfolio produces an abnormal return of 1% per month over the period from June 1999 to April 2007. However, after adjusting for transaction costs, the returns are no longer statistically significant. On the other hand, results indicate that risk arbitrage portfolio returns are negatively correlated with market returns, and the returns tend to have a linear relationship with the market.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0627107-141636 |
| Date | 27 June 2007 |
| Creators | Chen, Zeng-sie |
| Contributors | David Shyu, Y. Chris Liao, Jen-Jsung Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0627107-141636 |
| Rights | not_available, Copyright information available at source archive |
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