風險套利又稱為併購套利，是一種用來套取收購價和宣告日後被併公司股價價差的投資策略。如果併購成功完成，套利者有機會賺取套利價差；如果併購失敗，則套利者很可能遭受損失。本研究探討套利投資組合的績效及套利者是否能在宣告日預測併購結果。此套利投資組合包括從2000年2月到2008年2月間88個合併及公開收購案。當樣本為公開收購時，我們在宣告日買入被收購公司股票；當樣本為換股合併時，則同時買入被併公司和放空主併公司股票。實證結果發現，套利事件報酬為3.73%，超額事件報酬為2.74%。此外套利投資組合可賺得1.5%的月超額報酬率，其波動率低於大盤；我們也發現風險套利在空頭時期的報酬率高於多頭時期。本文使用logistic、probit迴歸及交換選擇權方法等三種機率預測模型來預測併購結果，前二者總正確率約為80%，高於交換選擇權法，然而3種模型對實際失敗案例的預測度皆不高。被併公司的相對規模對併購成功有負面影響，主併公司在宣告前的持股及現金併購可以提高併購成功機率，併購溢價對成功機率沒有顯著的影響。

Risk arbitrage, also called merger arbitrage, is an investment strategy that arbitrageur try to lock the spread between offer price and post-announcement price of target company. If merger successes, the arbitrageur have opportunity to profit from the arbitrage spread. However, if the merger fails, the arbitrageur may incur a loss. This paper studies the performance of risk arbitrage portfolio and explore whether we can predict the outcomes of merger on announcement date. We construct an arbitrage portfolio containing 88 mergers and cash tender offers from February 2000 to February 2008. In cash tender offer, we buy the stocks of target companies on the announcement date. In the stock exchange mergers, we buy the stocks of target companies and short sell the stocks of acquiring companies. The empirical result indicates that average event return of arbitrage is 3.73%. and excess event return is 2.74%. Arbitrage portfolio generates 1.5% abnormal return per month, and the volatility of arbitrage is less than market index. In addition, we find that risk arbitrage return in bear market is higher than that in bull market. We use three approaches including logistic regression, probit regression and exchange options to predict the probability of merger success. The two first models have total accuracies about 80%, which are higher than that of exchange options approach. The three models all have weak prediction performances on actually failed mergers. Besides, the relative sizes of target companies have negative effect on merger success. The ownerships of target companies hold by acquiring companies before announcement date and cash mergers can increase the probability of mergers success. The takeover premium has no significant effect on mergers success.

目錄
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 4
第四節 研究流程 6
第二章 文獻探討 8
第一節 併購相關的名詞定義 8
第二節 併購動機的相關理論 11
第三節 併購宣告對股價的影響 13
第四節 風險套利的定義與功能 17
第五節 風險套利的報酬與風險 19
第六節 影響套利報酬的因素 23
第七節 影響併購完成的因素及併購完成機率的預測 25
第三章 研究方法 30
第一節 套利報酬率的計算 30
第二節 超額報酬的檢定 34
第三節 預估併購完成機率 36
第四章 實證結果與分析 41
第一節 資料來源與樣本敘述分析 41
第二節 風險套利之報酬率 45
第三節 市場多空時期的套利報酬 50
第四節 併購完成機率的預測 57
第五章 結論及建議 65
第一節 結論 65
第二節 後續研究建議 67

表目錄
表2.1 併購宣告對主、被併公司的異常報酬 ……………………………………...15
表2.2 併購成功與失敗之異常報酬率 …………………………………………….16
表2.3 併購完成機率之文獻彙總 ………………………………………………….28
表4.1 併購成功與失敗樣本數 …………………………………………………….42
表4.2 樣本產業分佈 ……………………………………………………………….42
表4.3 併購成功與失敗統計平均值 ……………………………………………….43
表4.4 風險套利之事件報酬率……………………………………………………...45
表4.5 投資組合月報酬及標準差 ………………………………………………….46
表4.6 投資組合日報酬迴歸係數 ………………………………………………….47
表4.7 投資組合月報酬率迴歸係數 ……………………………………………….49
表4.8 以月收盤價為指標的多空區隔 …………………………………………….52
表4.9 以六個月移動平均線為指標的多空區隔 ………………………………….52
表4.10 加入多空虛擬變數的市場模式…………………………………………….54
表4.11 整體及多、空時期的超額報酬 ……………………………………………55
表4.12 在多空時期下套利投資組合與大盤的績效比較 ………………………...56
表4.13 各變數敘述性統計 ………………………………………………………..57
表4.14 成功組與失敗組之解釋變數比較 ………………………………………...58
表4.15 logit 迴歸結果 …………………………………………………………...59
表4.16 機率切點為0.5時logit模型預測正確率 ………………………………..60
表4.17 在不同機率切點下logit的預測正確率 ………………………………….61
表4.18 probit 迴歸結果 ………………………………………………………….62
表4.19 機率切點為0.5時probit模型預測正確率 ………………………………..63
表4.20 在不同機率切點下probit的預測正確率 …………………………………63
表4.21 機率切點為0.5時交換選擇權預測正確率 ………………………………64



圖目錄
圖1.1 研究流程圖.........................................................................................................7
圖2.1 風險套利之超額報酬與市場超額報酬之關係 …………………………….21
圖2.2 風險套利之迴歸配適線 .................................................................................22
圖4.1 樣本產業分佈 ……………………………………………...………………..42
圖4.2 併購樣本年度分佈 .........................................................................................43
圖4.3 台股月收盤價與6個月移動平均線 ..............................................................51

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