In this working paper (available via SSRN), “Influencing Control: Jawboning in Risk Arbitrage,” authors Jiang, Li, and Mei consider the use of appraisal strategies, among others, by the so-called “activist” investor. In studying instances of appraisal arbitrage, among other activist strategies, the authors conclude that activist investors can utilize a variety of tools – including appraisal – to realize abnormal returns on M&A transactions.
In particular, Table 7 of the attached article (pages 50-51) presents the results of their analysis of such abnormal returns. The sample used in this study included only 14 mergers with appraisal actions, but their findings on “appraisal returns” are interesting: “The average (median) appraisal return is 15.6% (19.6%). The average (median) length between deal completion and the appraisal decision is 1,043.1 (1,106) calendar days,” or just over three years (footnote 14). In addition, Appendix A analyzes the Golden Telecom decision as an illustrative case in their study, in which the appraisal strategy experienced an annualized return of 15%.