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Master Thesis

Le risk arbitrage, une analyse quantitative : étude d'un échantillon d'opérations couvrant les territoires nord-américains et d'Europe de l'ouest

Abstract : This study develops the notion of a probabilistic approach in the risk arbitrage activity. Precisely, it intends to demonstrate how statistics can improve the risk measure in merger & acquisition arbitrage. After a brief presentation of risk arbitrage mechanisms, the market relationship of this activity will be described through existing literature on empirical researches. Then, based on a sample of 386 transactions involving companies with market capitalization below $ 500 million, a logistic regression will be developed. Covering the 2008-2012 period and the north american and western european territories, this work demonstrates that statistical approach, thanks to the level of efficiency existing in the merger & acquisition universe, improves risk arbitragers performances, according to the sample and time frequency failure distribution.
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Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-00934729
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Submitted on : Wednesday, January 22, 2014 - 3:17:38 PM
Last modification on : Wednesday, July 15, 2020 - 10:10:03 AM
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  • HAL Id : dumas-00934729, version 1

Citation

Robin Crepatte. Le risk arbitrage, une analyse quantitative : étude d'un échantillon d'opérations couvrant les territoires nord-américains et d'Europe de l'ouest. Finance [q-fin.GN]. 2013. ⟨dumas-00934729⟩

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