NO.PZ2023091802000013
问题如下：
A portfolio manager of a merger arbitrage fund is reviewing a pending acquisition, in which Company STZ has offered to pay 1/3 of a share of its stock for every share of Company ACQ. The stock of company STZ is currently trading at CNY 30 per share and the stock of company ACQ is currently trading at CNY 9 per share. The manager believes with a high level of certainty that the acquisition will be completed. Which of the following trades would be most appropriate for the manager to establish to reflect this view?
选项：
A.Take a leveraged long position in 100,000 call options on Company ACQ.
B.Buy 100,000 shares of Company ACQ and short 30,000 shares of Company STZ.
C.Buy 30,000 shares of Company STZ and short 100,000 shares of Company ACQ.
D.Sell 100,000 puts on Company ACQ with a strike of CNY 9 and buy 30,000 calls on Company STZ with a strike of CNY 30.
解释：
B is correct. In a merger arbitrage transaction on a share-based
exchange, the manager should go long the undervalued target and go short the
acquirer if they believe the acquisition will be completed. In this case, STZ
is paying a third of a share for each share of ACQ, which would imply a price
of 10 per share instead of 9. Therefore, the manager should purchase an amount
of ACQ shares and short an equal monetary value of STZ shares, and will profit
when the relative value of an ACQ share rises from 0.3 per share now to 0.333
share as the acquisition is completed.
A is incorrect. Going straight long options on ACQ would leave the
manager open to a drop in the price of STZ or a delay in the transaction.
C is incorrect. This reverses the transaction and is the trade the
manager should put on if they feel the transaction will not go through and the
risk of it breaking is not fully priced in by the market.
D is incorrect. This trade does not capture the arbitrage spread, as
the calls go into the money as STZ rises while the puts will get put if ACQ
falls. Since both of these events are not exclusive, the trader could wind up
with long exposure on both sides.
