arbitrage opportunity... …

important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that … addition, the model accurately predicts that merger arbitrage exhibits low volatility and a large Sharpe ratio when deals are …

important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that … addition, the model accurately predicts that merger arbitrage exhibits low volatility and a large Sharpe ratio when deals are …

. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …

The practice of merger arbitrage is one of the more popular and profitable strategies employed by many hedge funds. At …. The risk to an individual risk arbitrage investment, then, comes from one specified source: the risk of deal completion … therefore very important to fully understand the nature and magnitude of the risks inherent in merger arbitrage. This paper …

This paper examines the annual risks and returns of three disparate, hypothetical merger arbitrage portfolio strategies … December 2016 time period. Previously written and undoubtedly the most prominent literature into M&A and merger arbitrage … [Schleifer & Vishny ‘97], [Mitchell & Pulvino ‘01] and [Baker & Savasoglu ‘02] focus on the limits of pure arbitrage the creation …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …

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 sample of 1046 merger offers and regression technique, we find that … arbitrage spread is positively correlated with deal completion risk, positively correlated with liquidity risk in a concave way …

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets … discounting and portfolio rebalancing, and whose curvature measures, in this geometric language, the ''instantaneous arbitrage … for arbitrage.Results, obtained by solving explicitly the Schrödinger equations by means of spectral decomposition of the …