Abstract
This study measures the returns to investing in 37 Canadian acquisition targets with over $50 million in capitalization during 1997. On average, risk arbitrage returns yield an average of 4.78% in excess of the TSE index over an average duration of 57 days per deal, or 33.9% excess return on an annualized basis. We find that these risk arbitrage excess returns cannot be explained by factors related to the deal, such as its likelihood of success, the time to close, payment method or industry sector of the target company.