Takeover Prediction as a Portfolio Strategy



Title:	Takeover Prediction as a Portfolio Strategy Yritykauppojen ennustaminen portfolio strategiana
Author(s):	Yli-Seppälä, Joel
Date:	2018
Language:	en
Pages:	71 + 11
Department:	Rahoituksen laitos
Degree programme:	Finance
Thesis advisor(s):	Nyberg, Peter
Keywords:	takeover prediction, default prediction, market timing, abnormal returns, portfolio strategy
Controlled terms:	rahoitus, ennusteet, mallit, yrityskaupat, konkurssit, sijoitukset, strategia
Location:	P1 I \| Archive number: 17214 \| Archive
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Abstract: In this study, I have tested several takeover prediction theories by using a logistic regression model. The results suggest that takeover targets have common characteristics such as small size, low Tobin’s Q and high return on assets. In addition, the growth-resource mismatch theory is supported. Furthermore, the takeover prediction model is used to develop an investment strategy. However, because takeover targets and distressed companies tend to have common characteristics, the strategy is developed based on a combination of a statistical takeover prediction model and the distance to default model. The strategy is tested by using different portfolio sizes and default probability constraints. As a result, the investment strategy is found to produce statistically significant abnormal returns.
Permanent link to this item: http://urn.fi/URN:NBN:fi:aalto-201806293932 Email this Export to RefWorks QR Code Print BibTex Tweet