This paper examines the profitability of option-based merger arbitrage. A simple arbitrage strategy using stock options is designed to examine the merger arbitrage profitability from 1996 to 2008. This strategy takes long position on call options of target firms and put options of acquirer firms...

The purpose of this paper is to examine the behavior of copper spot prices in London Metal Exchange. Besides, we examine the relation between hedging effectiveness and the maturity of the contract. This research provides an empirical comparison of different econometric techniques in the context...

This paper investigates the performance and trading characteristics of 43 German Exchange Traded Funds (ETFs) traded on XTRA market during the period 2003-05. The findings show that these ETFs perform similar to the underlying indexes but are riskier than indexes. German ETFs do not adopt full...

For many years, researchers have argued that ‘value strategies’ outperform the ‘growth strategies’. In this paper, we have attempted to explore this possibility in the Indian stock market and tried to find the magnitude and pattern of value premium, if any. The results indicated that...

In the present study, an attempt has been made to explain the dynamics of exchange rate in Indian foreign exchange market. The empirical study is based on ‘Multiple Regression Analysis’ to identify the factors that drove the exchange rate of USD/INR during the period January 1999 through...

The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten years. Sensitivity of dollar and euro is computed using...