NO.PZ2023010407000006
问题如下：
Gunnar Patel is an event-driven hedge fund manager for Senson Fund, which focuses on merger arbitrage strategies. Patel has been monitoring the potential acquisition of Meura Inc. by Sellshom, Inc. Sellshom has offered to buy Meura in a stock-for-stock deal. Sellshom was trading at $60 per share just prior to the announcement of the acquisition, and Meura was trading at $18 per share.The offer ratio is 1 share of Sellshom in exchange for 2 shares of Meura. Soon after the announcement, Meura’s share price jumps to $22 while Sellshom’s falls to $55 in anticipation of the merger receiving required approvals and the deal closing successfully. At the current share prices of $55 for Sellshom and $22 for Meura, Patel attempts to profit from the merger announcement. He buys 40,000 shares of Meura and sells short 20,000 shares of Sellshom.
Calculate the payoffs of the merger arbitrage under the following two
scenarios:
i. The merger is
successfully completed.
ii. The merger fails.
选项：
解释：
i. At the current share prices of $55 for Sellshom and $22 for Meura,
Patel would receive $1,100,000 from short selling 20,000 shares of Sellshom and
would pay $880,000 to buy 40,000 shares of Meura. This provides a net spread of
$220,000 to Patel if the merger is successfully completed.
ii. If the merger fails, then prices should revert back to their
pre-merger announcement levels of $18 per share for Meura and $60 per share for
Sellshom. The manager would need to buy back 20,000 shares of Sellshom at $60 per
share, for a total of $1,200,000, to close the short position. Patel would then
sell the long position of 40,000 shares of Meura at $18 per share for a total
of $720,000. This net loss would be $260,000, calculated as: (Sellshom:
$1,100,000 – $1,200,000 = –$100,000) + (Meura: –$880,000 +
$720,000 = –$160,000).
i. At the current share prices of $55 for Sellshom and $22 for Meura, Patel would receive $1,100,000 from short selling 20,000 shares of Sellshom and would pay $880,000 to buy 40,000 shares of Meura. This provides a net spread of $220,000 to Patel if the merger is successfully completed.
**可否理解为 cost= 22*40,000 去买被收购的M票；然后是裸卖空 S票？所以凭空收到55*20,000; 利润是这里的差额
ii. If the merger fails, then prices should revert back to their pre-merger announcement levels of $18 per share for Meura and $60 per share for Sellshom. The manager would need to buy back 20,000 shares of Sellshom at $60 per share, for a total of $1,200,000, to close the short position. Patel would then sell the long position of 40,000 shares of Meura at $18 per share for a total of $720,000. This net loss would be $260,000, calculated as: (Sellshom: $1,100,000 – $1,200,000 = –$100,000) + (Meura: –$880,000 + $720,000 = –$160,000).
**可否理解为 关闭头寸的就是要付 20,000 *60的票，所以单比损失了 $1,100,000 – $1,200,000 = –$100,000；M票也是关闭这个头存，但这里是裸卖空获得的720； 最后损失是这两笔交易的差额。
