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Statistik › Börsennotierungen, IPOs und Kapitalmaßnahmen › Merger arbitrage

Two merger arbitrage studies measure positive skew, and the paper that found negative skew would not open

ConstructionUK cumulative 2001 to 2004German annualised 2003 to 2007German alpha p value
Equal weighted62.15%57.9%0.03
Wertgewichtet20.71%26.7%0.27
Implementable, with cost constraints30.40%14.9%0.18
The market over the UK period-19.21%
Risk free over the UK period19.15%

UK sample is 121 deals over 1,045 trading days from 2001 to 2004; the German sample is 61 transactions from January 2003 to June 2007. The implementable portfolios apply transaction cost and capital constraints. Both papers report p values rather than t statistics or standard errors. Neither reports a deal completion rate, and neither covers 2008.

UK and German merger arbitrage portfolios both show positive skewness and no increase in systematic risk in falling markets. The UK authors state this is contrary to prior US findings, and the US paper behind those findings could not be obtained.

+0.52, +2.02, +9.25UK portfolio skewness, three constructions
+6.508, +1.221, +7.029German portfolio skewness
57.9% then 14.9%German annualised return, equal weighted then implementable
0.03 then 0.18Its alpha p value over the same range

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