Main results

Bhagat et al. [9]

295 cash tender offers between 1962 and 1980.

Average target excess return of 2% from 2 days after the tender offer announcement to the day prior to the expiration of the offer.

Larcker and Lys [10]

111 target stocks that were the subject of SEC 13-D filings between 1977 and 1983.

The mean (median) cumulative excess return is 5.32% (2.56%) from the time of investment to the resolution of the offer.

Dukes et al. [11]

761 cash tender offers over the period 1971 through 1985.

Average daily returns of 0.47%.

Karolyi and Shannon [12]

37 Canadian acquisition targets valued at over $50 million during the year 1997.

The average return to the risk arbitrage strategy yielded 4.78% in excess of the TSE 300 stock index.

Mitchell and Pulvino [4]

4750 mergers and acquisitions between 1963 and 1998.

Excess returns of 4% per year after taking into account transaction costs.

The relation between risk arbitrage returns and market returns varies with market conditions.

Baker and Savasoglu [3]

1335 pure cash and 566 pure stock mergers and acquisitions between 1981 and 1996.

Abnormal returns of 0.6% - 0.9% per month on a diversified portfolio of risk arbitrage positions.

Idiosyncratic risk and firm size are determinants of expected returns.

Jindra and Walking [7]

362 cash tender offers between 1981 and 1995.

Abnormal monthly return of 2% for the target from the day after the initial bid until bid resolution.