资源描述：
《The Risk in Risk Arbitrage》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、8The“Risk”inRiskArbitrageJohnPaulsonPaulson&Co,IncOneofthegreatpractitionersinriskarbitrage,seasonedbyover40yearsofinvesting,oncesaidtome,“riskarbitrageisnotaboutmakingmoney,it’saboutnotlosingmoney”.Ineffect,thetrueskillinriskarbitrageisaboutavoidinglosses.Andtoav
2、oidlosses,onemustunderstand,evaluateandmanagerisk.Riskarbitrage1,ormergerarbitrage,entailscapturingthespreadbetweenthepriceanacquirerhasagreedtopayforatargetandthepricethetargettradesatafterthedealisannounced.Inacashdeal,thearbi-trageurwouldmerelybuythetargetatadi
3、scounttothecashofferpriceandexchangethetargetstockforcashatitscompletion.Inastockdeal,thearbitrageurwouldbuythetargetand,inordertolockinthespread,shorttheacquirerinanamountequaltothenumberofsharesthearbitrageurisduetoreceiveinexchangeforthetarget’sshares.Thespread
4、isthedis-countthetargettradesattothemergerconsiderationandcanbeexpressedineitherabsolute,percentageorannualisedterms.Sincespreadsaretypicallysmallinrelationtothepremiumpaidinadeal,thedownsideonetakestoearnthespreadcanbesignificant.ThegraphinFigure1illustratesthemag
5、nitudeoftherisk/returntradeoffinatypicaltransaction.Inthisexample,ChirexInc,aUS-basedpharmaceuticalserviceprovider,agreed,inacashtenderoffer,tobeacquiredonJuly24,2000byRhodiaSA,aFrenchspecialtychemicalmanufacturer,forUS$31.25.Chirexstockjumped1012pointsonthedayoft
6、heannouncement,from2014to3034.Thespread,atUS$0.50,providesagrossreturnof1.6%andanannualisedreturnofapproximately17%,assuminga35-dayclose.However,manyfactorscanaffecttherateofreturn.Ifthedealincursdelaysandtakesthreemonthstoclose,theannualisedreturnwillfallfrom17%t
7、o6%.IfthepriceissubsequentlycuttobelowUS$30.75,thedealwillturnfromaprofittoaloss.Or,inaworstcasescenario,thedealmightbreakaltogetherandthe1MANAGINGHEDGEFUNDRISKFigure1ChirexInc32302826US$242220183July200010July200017July200024July200031July200012June200019June20002
8、6June20007August2000stockwillfalltoitspre-announcementlevelsorlower.The“risk”inriskarbitrageisthereforeanythingthataffectsthedeal’scompletion,thetimingo
