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

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  • Robin Crepatte

    ()
    (IAE Grenoble - Institut d'Administration des Entreprises - Grenoble - Université Pierre-Mendès-France - Grenoble II)

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    Abstract

    Au cours de cette étude, nous exposons les apports d'une approche probabiliste dans la mesure du risque d'une opération de fusion-acquisition. Après avoir rappelé les mécanismes du risk arbitrage, et exposé la relation au marché de cette activité à travers la littérature existante sur les recherches empiriques effectuées, nous développerons une modélisation logistique portant sur un échantillon de 386 opérations concernant des entreprises de capitalisations inférieures à 500 millions de dollars. Couvrant la période 2008-2012 et les territoires nord-américains et d'Europe de l'ouest, ce travail démontre que l'approche statistique permet, grâce à un certain niveau d'efficience de l'univers des opérations de fusion-acquisition, d'améliorer l'approche du risk arbitrage, en fonction de la distribution du taux d'échec au cours de la période et de l'échantillon analysé.

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    File URL: http://dumas.ccsd.cnrs.fr/docs/00/93/47/29/PDF/CREPATTE_Robin_FIN2FEM.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number dumas-00934729.

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    Date of creation: 2013
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    Handle: RePEc:hal:journl:dumas-00934729

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    Related research

    Keywords: Décote; perte potentielle; spread; downside;

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