This article aims to study if merge event can make abnormal return by setting up a merge-arbitrage investment portfolio; and if this abnormal return to be affected by taking consideration of related costs.
During the period of merge event, the results from both CAPM model and Fama-French model show that the abnormal return from the merge-arbitrage investment portfolio is quite significant if not considering the direct and indirect costs; but the return will become insignificant if considering all the costs.
However, there is no co-relation between merge-arbitrage investment portfolio and stock market investment portfolio, no matter if we have taken the costs into consideration or not. The relationship between the two investments is in linear regression. Furthermore, although size and market-to-book ratio are positively and negatively, respectively, related to the portfolio return, these relationships are statistically insignificant.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0810107-115336 |
| Date | 10 August 2007 |
| Creators | Chang, mei-jane |
| Contributors | NONE, NONE, NONE |
| 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-0810107-115336 |
| Rights | not_available, Copyright information available at source archive |
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