Journal of Corporate Finance · Volume 47, December 2017

并购交易中的共同基金：存在内部信息的推销吗？

作者：Rui Dai (University of Pennsylvania)

Nadia Massoud (The University of Melbourne)

Debarshi K. Nandy (Brandeis University)

Anthony Saunders (New York University)

摘要：本文研究了在公开发布并购交易信息之前目标公司和收购公司的交易模式，这里研究的并购交易特指一种以组合为基础的共同犯罪并被记录在案的企业活动。我们的分析区分了这种交易是否主要是由在股票和衍生品市场上的短期投资对冲基金，而不是其他短期投资者或其它对冲基金和长期机构投资者进行的。我们的结果与交易公告前推销并购交易相关的信息一致。特别是我们发现内幕信息泄露的可能性越大，短期对冲基金持有量就越大。我们考虑了几个替代的解释，如与短期对冲基金在事前识别盈利性交易的技能有关; 我们的结果似乎与这些替代解释不一致。

关键词：短期对冲基金；信息泄露；内部消息；收购兼并；卖空；长期策略持有

Hedge funds in M&A deals: Is there exploitation of insider information?

Rui Dai (University of Pennsylvania), Nadia Massoud (The University of Melbourne), Debarshi K. Nandy (Brandeis University), Anthony Saunders (New York University)

ABSTRACT

This paper investigates trading patterns in target and acquirer firms prior to public announcement of M&A deals, a corporate event in which group based co-offence has been anecdotally documented. Our analysis differentiates whether such trading is primarily conducted by hedge funds with short-term investment horizons as opposed to other short horizon investors or hedge funds and institutional investors with long-term horizons, in both the equity and derivatives markets. Our results are consistent with exploitation of M&A deal related information prior to the deal's public announcement. In particular we find that the greater the likelihood of insider information leakage, the greater the short-term hedge fund holdings. We consider several alternative explanations, such as those related to the short-term hedge fund's skill in identifying profitable trades' ex-ante; our results seem inconsistent with such alternative explanations.

Keywords: Short-term hedge funds; Information leakage; Insider information; Merger and acquisitions; Short-selling; Long target holdings

原文链接：

https://doi.org/10.1016/j.jcorpfin.2017.08.001

翻译：陈然