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ChinaManagementStudiesvolume4（4）90①200320083381234B08C1002020094491200510313000817000763000618A8.80/4.25/5.25/32005102718.76%10.10%6.92%000817A8.15/58.61/5.64%411%2.19%3.45%251.86%mergerarbitrageriskarbitrage2008LarckerLys1987Dukes1992KarolyiShannon1999MitchellPulvino2001BakerSavasoglu2002JindraWalkling200420088ChinaManagementStudiesvolume4（4）9220042006200620032008332530%200944931.122.11spread1spread2spread2spread1spread2spread21spread2spread3=*1.2.110%10%10%ChinaManagementStudiesvolume4（4）941.2.SpreadKarrolyiShannon1999()/*365/offerannounceannounceiiiiiSpreadPPPdays=−1()/*365/closeannounceannounceiiiiiSpreadPPPdays=−212,iSpreadiofferiPicloseiPiannounceiPi20094495idaysi200710%1051012()/offerannounceannounceiiiPPP−5101KarolyiShannon1999BakerSavasoglu20022110%61%ChinaManagementStudiesvolume4（4）9635%200810%1%2%3JindraWalkling2004speculationspreadsSAB45200362008123133141925820094497817110007630008170006180004060008660009566000022000328281%1.99%280.7%1.47%2(1)(2)(3)(4)10007631.18%0.71%20008172.50%0.57%30006182.48%0.19%40004061.55%1.75%50008661.65%0.79%60009561.32%1.73%76000021.77%0.88%8*002032*3.45%5.11%1.99%1.47%*8ChinaManagementStudiesvolume4（4）98CSMAR1.360-360-271-270-181-180-91-90-1-180-91ˆαˆβCSMARˆαˆβCARCSMAR2.t20094499383000763100081720006183000406400086650009566600002720023283.49%2.65%19.79%8.38%9.48%10.29%8.72%2.35%-2.30%1.60%-17.25%-6.90%-5.90%-8.88%-4.92%-3.50%-2.46%-18.22%-9.79%-9.98%-10.80%-5.86%1.22%5.31%-2.10%5.29%-7.41%4.42%-4.16%-0.12%-5.60%-1.74%-0.96%-3.80%-0.29%-2.73%-1.65%-3.10%-1.50%2.71%-3.56%3.14%5.95%2.29%2.87%10.58%-2.69%9.68%0.23%2.82%-1.29%-1.09%3.40%-2.95%4.41%-2.37%-1.30%-5.30%-4.02%-5.20%-5.97%0.55%-0.27%7.79%4.17%11.72%-1.66%10.69%ChinaManagementStudiesvolume4（4）100300076300081700086600061800095600040660000220003242005200620076.4%34200520062007-2.59%-28.89%0.00%-10.49%-0.97%-32.64%1.94%-10.56%4.83%0.40%0.00%1.75%-1.74%-12.08%0.00%-4.61%-1.67%-1.85%14.49%3.66%3.32%9.83%0.00%4.38%1.53%2.07%0.00%1.20%-1.37%-6.51%-2.01%-3.30%7.30%11.91%0.00%6.40%1.131200944101231μ2μ3μ1-1012:0Hμμ−≥112:0Hμμ−5P=0.00180.051-2013:0Hμμ−≥113:0Hμμ−5P=0.00090.051-11-22.28SEBSEBHutson2000astaleprice70.85%26.33%84.98%82.05%81.82%80.95%67.29%SEB30.00%ChinaManagementStudiesvolume4（4）1023.33121μ2μ3-1012:0Hμμ−≥112:0Hμμ−5P=0.000270.054.43121μ2μ4-1012:0Hμμ−≥112:0Hμμ−5P=0.00180.055t1-11-23-14-1tStat-3.11372-3.37937-4.07031-3.04084P(T=t)0.001840.000920.000280.00179t1.689571.690921.720741.67252P(T=t)0.003670.001840.000550.00359t2.030112.032242.079612.003242008122009441033418230.1%2004120082200626200722006320083Baker,M.andS.Savasoglu,2002,LimitedArbitrageinMergersandAcquisitions,ChinaManagementStudiesvolume4（4）104JournalofFinancialEconomics,64,91-115.Duke,W.P.,C.J.FrohlichandC.K.Ma,1992,RiskArbitrageinTenderOffers,JournalofPortfolioManagement,18,47-55.Hutson,E.,2000,TakeoverTargetsandtheProbabilityofBidSuccess:EvidencefromtheAustralianMarket,InternationalReviewofFinancialAnalysis,9(1),45-65.Jindra,J.andR.A.Walkling,2004,SpeculationSpreadsandtheMarketPricingofProposedAcquisitions,JournalofCorporateFinance,10,495-526.Karolyi,A.andJ.Shannon,1999,Where’stheRiskinRiskArbitrage,WorkingPaper,UniversityofWesternOntario.Larcker,D.andT.Lys,1987,AnEmpiricalAnalysisoftheIncentivestoEngageinCostlyInformationAcquisition,JournalofFinancialEconomics,18,111-126.Mitchell,M.andT.Pulvino,2001,CharacteristicsofRiskandReturninRiskArbitrage,JournalofFinance,56,2135-2175.MergerArbitrageStrategyofTenderOffer:EvidencefromChinaZhangJinxinWuXiaoweiDuanJiashangAbstract:Canmergerarbitrage,whichisaprovenefficientinvestmentstrategy,alsobeusedinChinesestockmarket?Basedonallthe33tenderoffersinChinastockmarketfortheperiodbetween2003and2008,wesetupaninvestmentportfolioincluding8activedealsandexploretheperformanceofseveralriskarbitragestrategies.Ourresultsrevealsthatfixedtermstrategyisbetterthanholdingexpirystrategy,strategyofopeningpositionatraisinglimitisbetterthanstrategyofopeningpositionatclosingprice,strategyofopeningpositiononthedayofabstractannouncementisbetteronthedayoffull-textannouncement,andsuitablearbitragestrategycangetabnormalreturninChinastockmarket.Keywords:tenderoffer,mergerarbitrage,riskarbitrage,investmentstrategy