Trading Profits in Dutch Auction Self‐Tender Offers
发现荷兰式回购要约中存在异常交易利润：公告后买入、到期前卖出可获1.74%收益；到期前买入并投标可获1.36%收益。利润与小公司规模及非系统性风险正相关，表明事件风险定价是利润来源。
ABSTRACT We document abnormal trading profits in Dutch auction self‐tenders. Tender period profits—buying after announcement and selling just before expiration—are 1.74 percent ( Bhagat, Brickley, and Lowenstein (1987) report similar profits for interfirm tenders). Buying just before expiration and tendering yields abnormal profits of 1.36 percent ( Lakonishok and Vermaelen (1990) report 9 percent for fixed‐price self‐tenders using a filter rule). Total profits from buying just after announcement and tendering remain positive after adjusting for bid‐ask spreads. Trading profits are higher for smaller firms, and positively correlated with tender period unsystematic risk, suggesting that they arise due to the pricing of event risk.