We investigate the risk-return characteristics of merger arbitrage in the Australian market for corporate control, whereby hedge fund managers acquire companies subject to a takeover offer. On average, a strategy of buying target companies and short-selling bidders making scrip offers would have...

Prior research provides evidence consistent with footnote disclosures are being valued by investors. However, there are arguments as to whether the market would acquire and/or process disclosed versus recognised information in the same way. Prior studies have been inconclusive on the findings....