Characteristics of Risk and Return in Risk Arbitrage  

Oleh:

Pulvino, Todd ; Mitchell, Mark

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 6 (2001), page 2135-2176.
Topik: ARBITRAGE; studies; arbitrage; rates of return; risk
Fulltext: p 2135.pdf (785.93KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper analyzes 4,750 mergers from 1963 to 1998 to characterized the risk and return in risk arbitrage. Results indicate that risk arbitrage returns are positively correlated with market returns in severely depreciating markets but uncorrelated with market returns in flat and appreciating markets. This suggests that return to risk arbitrage are similar to those obtained from selling uncovered index put options. Using a contingent claims analysis that controls for the non linear relationship with market returns and after controling for transaction costs, we find that risk arbitrage excess returns of four percent per year.

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