NO.PZ2019122802000012
问题如下:
Gunnar Patel is an event-driven hedge fund manager for Senson Fund, which focuses on merger arbitrage strategies. Patel has been monitoring
the potential acquisition of Meura Inc. by Sellshom, Inc. Sellshom is
currently trading at $60 per share and has offered to buy Meura in a
stock-for-stock deal. Meura was trading at $18 per share just prior to
the announcement of the acquisition.
The offer ratio is 1 share of
Sellshom in exchange for 2 shares of Meura. Soon after the announcement,
Meura’s share price jumps to $22 while Sellshom’s falls to $55 in
anticipation of the merger receiving required approvals and the deal
closing successfully.
At the current share prices of $55 for Sellshom
and $22 for Meura, Patel attempts to profit from the merger
announcement. He buys 40,000 shares of Meura and sells short 20,000
shares of Sellshom.
Calculate the payoffs of the merger arbitrage if The merger fails.
选项:
解释:
If the merger fails, then prices should revert back to their pre-mergerannouncement levels of $18 per share for Meura and $60 per share forSellshom. The manager would need to buy back 20,000 shares of Sellshomat $60 per share, for a total of $1,200,000, to close the short position. Patelwould then sell the long position of 40,000 shares of Meura at $18 pershare for a total of $720,000. This net loss would be $260,000, calculated as:(Sellshom: $1,100,000 – $1,200,000 = –$100,000) + (Meura: –$880,000 +$720,000 = –$160,000).
首先我们进入这个策略的头寸是long M and short S, 那么M就是以22块钱买入,而S是以55块钱卖空,如果策略失败的时候,M的股价会从会从现在的22块钱跌到18块钱,那我们以22块钱买入的,跌到了18块钱,M每股亏了4块钱;S的股价从55块钱涨到60块钱,相当于低卖高买回来,每股S亏了5块钱。
如题。
或着“-26000=[20000*(55-60)]-[40000*(22-18)]"