By Liz Hoffman And Anna Wilde Mathews 

After weeks of banking on a takeover, Humana Inc.'s shareholders reacted coolly to news of the insurer's $34.1 billion announced sale to Aetna Inc., amid concerns over the deal's antitrust prospects, the possibility of an interloper and weakness in Humana's own business.

Shares of Humana closed Monday 15.4% below the value of Aetna's cash-and-stock offer, a yawning gap that suggests investors worry the deal may face challenges. Some of the same concerns socked Aetna's stock, which fell 6.4%.

Sale announcements typically trigger a two-way investor migration. Mutual funds and other long-term holders, eager to lock down their profits, often sell. Specialists known as merger arbitragers pour in, helping to keep the share price trading close to the deal value.

Those concerns are contributing to the spread between the deal's offer price and where Humana is trading. At Monday's close, Aetna shares had fallen 6.3% to $117.56. Based on the deal's terms, that price would value Humana at about $223.46. Instead, Humana shares closed at $189.26, up only slightly and still more than $30 below the offer price.

Speaking of risks that kept hedge funds away Monday, one arbitrager said: "Everything goes right and maybe you make a ton of money. One thing goes wrong, you get killed."

The largest unknown is antitrust approval, investors and analysts said. Aetna and Humana are the third- and fourth-biggest U.S. health insurers by revenue, and together would have about a million more Medicare subscribers than their next-closest competitor. Sterne Agee CRT analysts said regulators could require Aetna to sell around 575,000 Medicare Advantage customers, equating to $6 billion in revenue.

Time, the enemy of M&A wagers, is a factor, too. The deal isn't expected to close until late next year, tying up investors' money.

Threatening to muddy the regulatory picture is the mating dance under way between Anthem Inc. and Cigna Corp., the second- and fifth-largest insurers by revenue. The pair rekindled talks after Cigna rejected a public, $184-a-share bid from Anthem last month, a deal that, when paired with Aetna-Humana, would whittle the five largest insurers to three.

Aetna and Humana hoped to gain an edge with regulators by moving first, though Aetna Chief Executive Mark Bertolini said Monday the Aetna-Humana combination "could be bundled together" with other insurance mergers for antitrust review.

Aetna and Humana say their tie-up will enable them to offer more choices and pass the savings wrung from their combination onto customers. Mr. Bertolini said the antitrust risk is manageable--a view echoed by several analysts Monday--and that Aetna "took a conservative view" of potential divestitures that regulators might seek and baked those projections into its deal price.

Concerns lurk, too, in the frenzied merger talks among the top five insurers that preceded the holiday-weekend announcement. UnitedHealth Group Inc., the largest health insurer by revenue, had earlier approached Aetna about a takeover, and could still play spoiler because Aetna's shareholders must approve the Humana deal.

If Humana were to end up deal-less, its business forecast Monday wasn't reassuring. It lowered its 2015 earnings guidance to $7.75 a share, down from a range of $8.50 to $9 a share, attributing the downgrade largely to higher than expected hospital admissions among its Medicare members.

"If the deal falls apart, then the market really looks at Humana and says, 'what are its earnings capabilities over the next few years and what are the macro risks with Medicare Advantage?'" Thomas Carroll, an analyst with Stifel Financial Corp., said in an interview. "You would see the stock push back."

Aetna Chief Financial Officer Shawn Guertin said the company had included an "appropriate level of conservatism around Humana's future financial performance" in its financial projections for the deal. Aetna is going on the road this week to press the deal's merits, meeting with investors in New York on Tuesday and Boston Wednesday, according to people familiar with the matter.

Write to Liz Hoffman at liz.hoffman@wsj.com and Anna Mathews at anna.mathews@wsj.com

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