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Merger Arbitrage, en sektorspecifik studie

Serenhov, Alexandra LU and Höglund Savén, Viktor LU (2012) NEKH01 20122
Department 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.
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author
Serenhov, Alexandra LU and Höglund Savén, Viktor LU
supervisor
organization
course
NEKH01 20122
year
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},
  keyword      = {Merger Arbitrage,Riskarbitrage,CAPM,M&A},
  language     = {swe},
  note         = {Student Paper},
  title        = {Merger Arbitrage, en sektorspecifik studie},
  year         = {2012},
}