Taking Over the Size Effect: Asset Pricing Implications of Merger Activity
研究发现并购公告回报几乎解释了所有规模溢价，基于接管风险的因子优于传统规模因子，建议用接管因子替代规模因子作为基准。
Abstract We show that merger announcement returns account for virtually all of the measured size premium. An empirical proxy for ex ante takeover exposure positively and robustly relates to cross-sectional expected returns. The relation between size and expected returns becomes positive or insignificant, rather than negative, conditional on this takeover characteristic. Asset pricing models that include a factor based on the takeover characteristic outperform otherwise similar models that include the conventional size factor. We conclude that the takeover factor should replace the conventional size factor in benchmark asset pricing models.