In this study, we are interested in understanding the price formation process of bidders' and targets' shares after the merger announcement and seek to explore the impacts of liquidity risk, price pressure, and limited arbitrage theory on the cross sectional variation in risk arbitrage. Using a...

This paper constructs a novel measure of climate risk at the firm level by adopting a textual analysis method. The measure captures the share of conversations on earnings conference calls that center on climate- and weather-related keywords, allowing us not only to construct a total climate risk...