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1、AbstractTenderofferisacomnionformofmergerinmaturesecuritymarkets.Theactivitiesandrevenuesofmergerarbitrageurshavebeenextensivelystudied,butthereareveryfewliteraturesanalyzingtheinvestmentopportunitiesintheshorttermaftertheannouncementoftenderoffer.Inthispaper,withthetheo
2、reticalanalysisofhigh-frequencytrading,eventarbitrageandmargintrading,theopportunityofeventarbitrageaftertheannouncementoftenderofferinChinesestockmarketareexplored.Onthebasisoftheopportunityanhigh-frequencyinvestmentstrategywithmargintradingisestablished?Inthispaperthet
3、heoreticalbackgroundsoftenderoffer,mergerarbitrage,eventstudyanalysis,high-frequencytrading,eventarbitrageandmargintradingareintroduced.Thesetheoriesactastoolstoanalyzetheabnormalreturnsinthetermoftenderofferandtheopportunityofeventarbitrageaftertheannouncementoftenderof
4、fer,theresultsindicatethatinthetermoftenderofferinvestorscannotgetabnormalreturn,whilethereareinvestmentopportunitiesinthefirst30minutesofsecuritytradingaftertheannouncement?Onthisbasis,thepaperconstructsahigh-frequencytradingstrategywithmargintradingtoexploretheinvestme
5、ntopportunity.Theresultsshowsomeappropriatearbitragestrategiesleadtofairgains.Thethesisusesthehigh-frequencytradingmethodtoconstructamergerarbitragestrategyaftertheannouncementofthetenderofferforthefirsttimeinChina'ssecuritymarket.Thisisthemaininnovativecontributionofthe
6、research.Onetheotherhand,becauseoftheT+ltradingpatternlimitationsinthecurrentsecuritymarket,themethodincorporatesmargintradingstrategy.Keyywrds：TenderOffer;MergerArbitrage;High-frequencyTrading;MarginTrading摘要IAbstractII目錄III1引言11.1研究背景與目的11.2國內(nèi)外研究文獻綜述21.3研究內(nèi)容與結(jié)構(gòu)安排52理論背景
7、62.1上市公司收購、并購套利與事件研究法62.2高頻交易、事件套利與融券交易113要約收購期內(nèi)的投資策略分析213.1要約收購期間的超額收益率實證分析213.2要約收購消息公布之后的量化投資294總結(jié)與展望364.1本文的結(jié)論與創(chuàng)新之處364.2本文的不足之處364.3未來的研究方向37致謝38參考文獻39附錄1投資策略的Stata程序代碼41附錄2有效樣本要約收購期內(nèi)股票價格（日收盤價）走勢圖451引言1.1研究背景與目的企業(yè)是現(xiàn)代市場經(jīng)濟中最為重要的微觀經(jīng)濟主體之一，并購和重組是現(xiàn)代市場經(jīng)濟中的一種十分常見的經(jīng)濟行為，也是資木市場
8、永恒的主題，縱觀世界經(jīng)濟史，凡是由小變大、歷久彌堅的企業(yè)幾乎無一不是歷經(jīng)多次吸收合并、優(yōu)化組合的結(jié)果。在國外發(fā)達的市場經(jīng)濟國家，近幾十年以來，兼并與重組一直是企業(yè)發(fā)展的重要主題之一，例如，根據(jù)OECD統(tǒng)計資
