A Study On Merger Arbitrage Strategy In China's A-share Stock Market

With the rapid development of China's capital market,M&As are increasingly becoming a hot topic.Merger arbitrage,also known as risk arbitrage,has created lots of significant high return myths in the developed capital market.In China's capital market,merger arbitrage strategy is not common.However,with the continuous implementation of economic transition,the improvement of legal system construction,investors' professional knowledge and financial institutions' services,risk arbitrage strategies will bring lucrative investment returns for investors.It is of great practical significance to study which risk arbitrage strategies can bring significant excess returns to investors in China's A-share stock market.This paper constructs and investigates 8 risk arbitrage strategies of tender offer in China's stock market.This paper uses event study method to do the empirical analysis,and draws the conclusion that the 8 risk arbitrage strategies can achieve significant positive returns.In addition,the paper explores the most suitable and practicable risk arbitrage strategy for China's capital market.Furthermore,currently in China,negotiated acquisition is the main method of acquiring a listed company.Therefore,this paper also analyzes the transaction strategy of negotiated acquisitions and its earnings situation in Chinese stock market.The research shows that the static holding strategy of negotiated acquisition can obtain a significant positive excess return in China's stock market.