Trading Profits in Dutch Auction Self-Tender Offers
发现荷兰式拍卖自我要约收购中存在异常交易利润，买入后卖出或投标均可获利，且利润与小公司规模及事件风险定价相关。
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.