NO.PZ2019122802000011
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 is successfully completed.
选项:
解释:
At the current share prices of $55 for Sellshom and $22 for Meura, Patel would receive $1,100,000 from short selling 20,000 shares of Sellshom and would pay $880,000 to buy 40,000 shares of Meura. This provides a net spread of $220,000 to Patel if the merger is successfully completed.
因为不是1:1的情况,所以成功并购的价格不同会导致最后的收益不同,不能简单用long-short的net spread来计算
假设两种情况:
1、如果最终成功并购的价格是30元
Short 2万份 Sellshom 并 Long 4万份 Meura
最终收益:-(30-55)*20k+(30-22)*40k= 820k
2、如果最终成功并购的价格是40元
Short 2万份 Sellshom 并 Long 4万份 Meura
最终收益:-(40-55)*20k+(40-22)*40k= 1020k
所以最终并购价格会影响收益,除非是1:1的情况可以直接用买入卖出价格相减得出固定的spread作为固定收益,否则这类题无法计算出固定答案。