Two-component model for estimating the probability of success of SPAC companies based on Vasicek model for probability of default

Subject. The paper investigates the behavior of SPACs – special purpose acquisition companies, whose sole purpose is to merge with or acquire non-public companies that wish to skip the IPO stage but list their shares on the stock exchange – in the context of their success in the resulting transaction. Objectives. The paper aims at developing a model that considers both the behavioral financial performance of SPAC firms and the time factor affecting the success of such firms, where the effect of each characteristic, including the time component, can be quantified. Methods. In the process of studying the behavior of SPAC companies and the success of DeSPAC deals, the study employs statistical analysis methods. It also applies regression analysis using logistic and probit regression. Results. I proposed a two-component model for estimating the probability of success based on Vasicek's default probability model. The hypothesis of the study about the actual impact of the time component on the success of SPAC companies was confirmed. Based on the results of the model development and evaluation, estimates of the effect of time and financial performance on the success of SPAC deals were obtained, and the systematic component of success over time was identified. Conclusions. There is a significant impact of time component on the success of SPAC companies. Application of the time component in quantitative analysis enabled to improve the accuracy of the forecast and confirmed the hypotheses of earlier researchers about the countercyclical behavior of the market of companies of this type. The specified time component can also be used in subsequent works, in the form of a price index of the SPAC market.