merger的题目会不会考cash for stock的收益？ 如果是这种形式，收益怎么算？

问题如下：

Lynet Xu is the Chief Investment officer for the North University Endowment Fund (the Fund), which is based in Europe. The Fund’s investment committee recently made the decision to add hedge funds to the Fund’s portfolio to increase diversification. Xu meets with Yolanda Anderson, a junior analyst, to discuss various hedge fund strategies that might be suitable for the Fund. Anderson tells Xu the following:

Statement 1 Relative value strategies tend to use minimal leverage.

Statement 2 Long/short equity strategies are typically not exposed to equity market beta risk.

Statement 3 Global macro strategies come with naturally higher volatility in the return profiles typically delivered.

Xu tells Anderson that while she is open to using all hedge fund strategies, she is particularly interested in opportunistic hedge fund strategies. Xu states that she prefers opportunistic hedge fund strategies that use high leverage, have high liquidity, and exhibit right-tail skewness.

Xu asks Anderson to research an event-driven strategy involving a potential merger between Aqua Company and Taurus, Inc. Aqua has offered to buy Taurus in a stock-for- stock deal: The offer ratio is two shares of Aqua for three shares of Taurus. Aqua was trading at €50 per share prior to the merger announcement, and it fell to €45 per share after the merger announcement. Taurus was trading at €15 per share prior to the announcement, and it rose to €20 per share in anticipation of the merger deal receiving required approvals and closing successfully. Xu decides to enter into a merger arbitrage trade: She buys 22,500 shares of Taurus at €20 per share and sells short 15,000 shares of Aqua at €45 per share.

Xu and Anderson discuss an equity strategy involving two large European car companies, ZMD and Tarreras. Anderson recently attended a trade show where she inspected ZMD’s newest model car. Based on information from the trade show and other analysis conducted by Anderson, Xu concludes that ZMD will not meet its revenue expectations. Current valuation metrics indicate that ZMD shares are overvalued relative to shares of Tarreras. Xu decides to take a short position in ZMD and a long position in Tarreras with equal beta-weighted exposure.

Xu next reviews a convertible arbitrage strategy and analyzes a trade involving the euro-denominated stock and convertible bonds of AVC Corporation, a European utility company. Anderson gathers selected data for AVC Corporation, which is presented in Exhibit 1

Based on comparisons with industry ratios, Xu believes that AVC’s shares are overvalued in relative terms and the convertible bonds are undervalued. Anderson analyzes the potential profit outcomes of a long position in the convertible bond combined with a short stock position, assuming small changes in the share price and ignoring dividends and borrowing costs. She offers the following conclusion to Xu:

“The profit earned on the convertible arbitrage trade will be the same regardless of whether the share price of AVC decreases or increases.”

Finally, Xu and Anderson consider a hedge fund that specializes in reinsurance and life settlements. Xu tells Anderson about three characteristics that hedge fund managers look for when investing in life settlements:

Characteristic 1 The surrender value offered to the insured individual is relatively high.

Characteristic 2 The ongoing premium payments to keep the policy active are relatively low.

Characteristic 3 There is a high probability that the designated insured person is likely to die within the period predicted by standard actuarial methods.

Assuming the merger between Aqua and Taurus successfully closes, the payoff on Xu’s merger arbitrage trade will be:

选项：

–€187,500

€225,000

€412,500

解释：

B is correct. Xu bought 22,500 shares of Taurus at €20 per share for a total cost of €450,000 and sold short 15,000 shares of Aqua at €45 per share for a total cost of €675,000. Given the offer ratio of two shares of Aqua for three shares of Taurus, the 22,500 shares of Taurus are economically equivalent to 15,000 shares of Aqua. Thus, assuming the deal closes, the payoff to Xu’s trade is €675,000 – €450,000 = €225,000.

A is incorrect because –€187,500 is the payoff if the merger fails and both companies’ share prices revert back to their pre-merger prices. Xu bought 22,500 shares of Taurus at €20 per share for a total cost of €450,000 and sold short 15,000 shares of Aqua at €45 per share for a total cost of €675,000. If the merger fails and the share prices revert back to pre-announcement levels, Xu will have to sell 22,500 shares of Taurus at €15 per share for proceeds of €337,500, resulting in a loss on the Taurus stock of –€112,500 (€337,500 – €450,000). Xu will also have to close the short position by purchasing 15,000 shares of Aqua at €50 per share for a total cost of €750,000. This will result in a loss on Aqua of –€75,000 (€675,000 – €750,000). The total loss is –€112,500 + –€75,000 = –€187,500.

C is incorrect because the initial pre-merger prices are used to compute the payoff: 22,500 shares of Taurus are bought for €15 per share for a total of €337,500, and 15,000 shares of Aqua are sold short at €50 per share for a total of €750,000. The payoff is €750,000 – €337,500 = €412,500.

Xu以每股 20 欧元的价格购买了 22,500 股 T 股，总成本为 450,000 欧元，并以每股 45 欧元的价格卖空了 15,000 股 A 股，总成本为 675,000 欧元。 鉴于两股 A 股对三股 T 股的要约并购比率，22,500 股 Taurus 在经济上相当于 15,000 股 A 股。因此，假设交易完成，Xu交易的收益为 675,000 欧元 – 450,000 欧元 = 225,000 欧元 .

这个题学员普遍反映问 如果收购的价格是多少，会影响结果的，然后按照类似收购失败的方法在计算。

例如：假设收购成功后价格变成了30，profit=（45-30）*22500+（30-20）*15000；价格是40 时，profit=（45-40）*22500+（40-20）*15000结果不同，说明收购后公司股票的价格会影响profit

而实际上上面说的收购成功后价格变成了50的情况是cash for stock acquisition，而这个题是Stock-for-stock deal，具体我来解释一下stock-for-stock deal，用题目里的例子去解释，题目里说意思是用收购方（假设是A）的1股换被收购方的（假设是T）3股，而中间不会出现所谓的并购成功的的价格，收购后呢，A公司没有掏现金，而是拿出自己对整个公司的部分所有权（普通股票）为代价置换T公司的所有权。最后，T成为A的子公司，原T公司的股东成为A公司的股东。打个比方，当然这个例子是一个极端简单的前提假设，A公司股价原来是50，T公司的股价原来是20，A要用1股换T公司2股收购T公司。以现在的价格2股T公司是2*20=40元，但收购后就等同于A公司1股的价值（主要是从股票所代表的的所有权意义上说）了，对吧，而现在A公司的股价是50元，那最后结果是什么，T公司的股价会上涨对吧，比如大家都特别看好这次收购后的效益，2股T股价就会涨到和A公司1股的价格一样，对吧；如果不看好收购后的效益，是不是收购T公司后会拖累A公司，导致A公司的1股股价跌到2股T公司的股价，对吧；第三种情况，投资者很理性的看待这次收购，认为A公司出价过高，T公司被溢价收购了，但又看好收购后效益，那就是A公司股价下跌，T公司股价上涨，假设是A跌到45元了，T公司涨了22.5元了，最后还是2股T公司等于1股A公司的股价了。而这三种情况，无论是哪种，他们都要最终价格一致，这之间的差异（spread）就是50-2*20=10元，都要最终消除的对吧。（第一种情况是2股T股价涨了共10元=2*（25-20），第二种情况是A跌了10元=50-40，第三种情况是一股A股价和2股T股价各付出了5元）。而最终的T公司价格是市场给出的，无论价格多少都是用A公司的1股换T公司的2股。哪怕市场按照这个学员的思路T公司股价变成50元了，那么A公司用1股换T公司2股（按照题目的假设收购是成功的），2股T现在是2*50=100对吧，而根据A和T公司达成的Stock-for-stock deal，那现在只要用1股A公司的股票就能换2股T公司的股票，而现在A公司的股价在50元低于2股T公司的价值100元，那么市场会怎么反应呢，疯狂的买入A公司的股票对吧，直到A公司的股价涨到和2股T公司的价格一样（100元）为止对吧。这之间还是要消除10元的差距，只是这次是由A和T公司共同涨的，而T公司相对A公司多涨了10元（1股A公司和2股T公司之间的差异）。