Predicting European Takeover Targets
在Palepu(1986)收购概率模型基础上加入动量、交易量等技术指标，预测欧洲并购目标，发现模型预测准确且能构建获得超额收益的投资组合。
Abstract This article extends the Palepu (1986) acquisition likelihood model by incorporating measures of a technical nature, e.g. momentum, trading volume as well as a measure of market sentiment. We use the proposed model to predict takeover targets in a large sample of European and cross‐border merger and acquisition deals and validate its performance on an in‐ and out‐of‐sample basis. The robustness of the proposed model is investigated across several dimensions. In addition we explore the ability of the model to form the basis of successful takeover timing investment strategies. The results of our empirical analysis suggest that the proposed model predicts European takeover targets with relatively high accuracy and is able to determine portfolios that earn significant returns which are not explained by conventional risk factors.