Is merfer arbitrage profitable? — Evidence from China stock market

摘要

Merger arbitrage can get remarkable return according to research results of tender offers or mergers in United States, Canada, and Australia. But report has not been found about if merger arbitrage is a profitable investment strategy in China, whose capital market is still in the undeveloped stage and is dominated by negotiated acquisitions. This paper explores the performance of merger arbitrage involving 807 negotiated acquisitions during 2003–2005 in China stock market. Research result reveals that merger arbitrage with 5 days holding periods is a profitable investment strategy in China stock market.