It is shown that the requirement to satisfy the no-arbitrage conditions specifies the Nelson–Siegel–Svensson model in … stochastic processes is produced under objective probability measure, i.e. taking into account risk market prices. It is shown …

Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry …

indicates that the merger arbitrage strategy generates large risk adjusted returns. More recent evidence indicates that the …This paper replicates the core underlying merger arbitrage strategy using daily data from the United Kingdom to … generate three simulated merger arbitrage portfolio return series, for the period 2001 through to 2004. Past empirical evidence …

We present a novel methodology to calculate the jump-induced tail risk premium for individual stocks and examine its … effect on the following-month’s returns. The existence of a premium for bearing negative jump-induced tail risk is …-induced tail risk has no such significant predictive power. Further, we find that the larger is the magnitude of the premium for …