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The Merger Arbitrage Spread and Its Evolution

出版	Universität St. Gallen, 2019
URL	http://books.google.com.hk/books?id=wMx8zQEACAAJ&hl=&source=gbs_api

註釋This thesis examines the evolution of the merger arbitrage spread between 2000 and 2017. Using a sample of 1,755 U.S. takeover bids, it is shown that median first-day arbitrage spreads decreased by roughly 4.00% between 2000 and 2017, with an observed widening of spreads following the financial crisis in 2008. Furthermore, the thesis investigates returns of specialized merger arbitrage hedge funds. The results suggest that, likely as a consequence of the tightening of the risk spread, the annual aggregate alpha of such funds declined by about 4.35% during the examined period. These findings are consistent with previous research, which finds decreasing risk spreads and arbitrage hedge fund returns within the past 30 years. Finally, using a multiple regression analysis, two main reasons for the risk spread's decline are identified: a decrease in transaction costs and a change in the deals' risk profiles. The thesis is unable to provide evidence for the hypothesis that increased supply of merger arbitrage capital has had a significant impact on risk spreads.