Merger Arbitrage, en sektorspecifik studie
(2012) NEKH01 20122Department of Economics
- Abstract
- This thesis aims to investigate excess returns created by a modified form of merger arbitrage in a specific sector. By modifying the common strategy used, data from mergers and acquisitions where the payment method includes a mixture of stocks and cash could be included in the sample of 74 Mergers and Acquisitions deriving from the American Oil Market in 2003-2012. It is proven that the calculated returns follows a previously known pattern for Merger Arbitrage returns of a high beta in depreciating markets and a lower beta in appreciating markets. The results indicate a statistically significant excess return of 3,92 Basis Points per day benchmarking against S&P 500 and 6,38 Basis Points per day benchmarking against CAPM.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3327111
- author
- Serenhov, Alexandra LU and Höglund Savén, Viktor LU
- supervisor
- organization
- course
- NEKH01 20122
- year
- 2012
- type
- M2 - Bachelor Degree
- subject
- keywords
- Merger Arbitrage, Riskarbitrage, CAPM, M&A
- language
- Swedish
- id
- 3327111
- date added to LUP
- 2013-02-12 15:04:53
- date last changed
- 2013-02-12 15:04:53
@misc{3327111, abstract = {{This thesis aims to investigate excess returns created by a modified form of merger arbitrage in a specific sector. By modifying the common strategy used, data from mergers and acquisitions where the payment method includes a mixture of stocks and cash could be included in the sample of 74 Mergers and Acquisitions deriving from the American Oil Market in 2003-2012. It is proven that the calculated returns follows a previously known pattern for Merger Arbitrage returns of a high beta in depreciating markets and a lower beta in appreciating markets. The results indicate a statistically significant excess return of 3,92 Basis Points per day benchmarking against S&P 500 and 6,38 Basis Points per day benchmarking against CAPM.}}, author = {{Serenhov, Alexandra and Höglund Savén, Viktor}}, language = {{swe}}, note = {{Student Paper}}, title = {{Merger Arbitrage, en sektorspecifik studie}}, year = {{2012}}, }