Takeover Prediction and Portfolio Performance: A Note
实证检验了根据预测成功收购目标构建的投资组合能否获得超额收益，发现模型有解释力但组合在12个月持有期内未能跑赢市场。
This paper empirically tests whether it is possible to generate abnormal returns from investing in a portfolio of predicted successful takeover targets. Portfolios are formed on the basis of predictions from models similar to those estimated by Palepu (1986). However, unlike Palepu (1986), the portfolios in this paper are formed using a decision rule that results in smaller portfolios with higher average takeover probabilities. This provides a stronger test of whether share prices reflect future takeover probabilities. The results show that while the models have significant explanatory power, the portfolios fail to beat the return on the market over a 12‐month holding‐period.