中国股票市场风险套利收益率与交易策略研究

发布时间：2018-05-17 04:32

本文选题：公司并购 + 风险套利　；参考：《上海交通大学》2013年硕士论文

【摘要】：在成熟的股票市场中，风险套利是一种常见的投资策略。随着中国股票市场进一步发展成熟，，上市公司并购逐渐成为影响股价变动的重要因素之一，这也将为风险套利者提供更多的投资机会。本文研究了中国股票市场风险套利的收益率，并提出了具有实践意义的交易策略设计方法。文中筛选了从2004年到2011年241例股权收购案例。被收购方在首次并购公告后股价的超常收益率使用市场模型计算得出，结果显示并购事件能产生显著的超常收益率和累计超常收益率，表明在中国股票市场进行风险套利能获得超额收益。文中使用累计超常收益率作为风险套利收益率指标，研究能在并购事件中改变投资者对被收购方未来业绩预期并最终影响累计超常收益率大小的因素。回归结果显示，如果被收购方市值较小，正面临财务困境或经济效益困境，但资产质量或资产运营效率较高，那么并购事件导致的累计超常收益率会较高。此外，如果并购交易使用现金支付，以及公告后第一天的超常收益率较高，那么累计超常收益率也会较高。基于以上对超常收益率和影响风险套利收益率大小的因素的研究，文中提出三种风险套利交易策略。三种策略的收益率都超过了对应样本的平均收益率。
[Abstract]:In a mature stock market, risk arbitrage is a common investment strategy. As China's stock market matures further, mergers and acquisitions of listed companies gradually become one of the important factors that affect stock price movements, which will also provide more investment opportunities for risk arbitrages. This paper studies the rate of return of risk arbitrage in Chinese stock market, and puts forward a practical design method of trading strategy. In this paper, 241 cases of equity acquisition from 2004 to 2011 are selected. The abnormal rate of return on the share price of the acquired party after the announcement of the first merger and acquisition is calculated by using the market model. The results show that the merger event can produce a remarkable abnormal rate of return and a cumulative abnormal rate of return. It shows that risk arbitrage in Chinese stock market can obtain excess return. In this paper, the cumulative abnormal rate of return is used as the index of risk arbitrage rate to study the factors that can change investors' expectation of future performance of the acquired party and ultimately affect the cumulative abnormal rate of return in the M & A event. The regression results show that if the acquired party has a smaller market value, is facing financial distress or economic difficulty, but the asset quality or asset operation efficiency is higher, then the cumulative abnormal return rate will be higher. In addition, if mergers and acquisitions use cash payments, and the first day after the announcement of abnormal returns higher, then cumulative abnormal returns will also be higher. Based on the above research on the factors that influence the rate of return of risk arbitrage, three risk arbitrage trading strategies are proposed. The rate of return of all three strategies exceeds the average rate of return of the corresponding sample.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【共引文献】