後續研究建議

本研究在計算套利報酬率時，不計入交易成本和融券放空的限制，建議後續 研究者可將這些因素納入，以得到更精確的數據。此外因為在換股合併時，套利 者必須放空主併公司股票，若主併公司股價大幅上漲，則套利者會面臨追繳融券 保證金的風險，建議投資人設定合理的停損點，且我們在研究過程中發現，若主 併公司股價大漲或大跌，與被併公司股價脫勾，有可能是合併破局的徵兆。整體 而言，本研究認為風險套利的波動低於大盤，且報酬率高於大盤，是一可行的投 資策略。

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