Over recent decades, the forecasting and prediction of stock market acquisitions have been subject to increased interest due to the economic importance for various stakeholders. This study consists of two stages: dealing with the development of prediction models and their subsequent use within an investment strategy. During the first stage, we explore the ability to predict the acquisition of listed firms in the UK. In the second stage of the analysis, we explore whether it is possible to earn abnormal returns by investing in portfolios consisted of the predicted targets. The training sample includes 658 listed companies half of which were acquired between 2001 and 2005. The validation sample consists of 1,576 listed firms, of which 416 were acquired during 2006. The results indicate that the portfolios can generate abnormal returns of up to 4.78% depending on the investment horizon and the methodology employed.