Merger arbitrage is widely considered one of the principal areas of hedge fund investment. While the investment process of merger arbitrage is generally known, less information exists, at least in the practitioner community, as to academic research as to the basis for various merger activity as well as to the...
NEW YORK--BUSINESS WIRE--Standard & Poor's CreditWire 9/1/98-- Standard & Poor's today withdrew its triple-'Af' bond fund credit rating and double-'b' bond fund risk rating on the Integral Bond Arbitrage Fund Ltd.
Using data on Japanese and US convertible bonds and underlying stocks, it analyzes the risk return characteristics of convertible arbitrage funds. The hypothesize that there are three primitive trading strategies that explain convertible arbitrage funds, returns, positive carry, volatility arbitrage, and credit arbitrage. They are referred as asset-based style factors....
Although tax arbitrage is central to the literatures on tax capitalization, implicit taxes, and even capital structure, there is little empirical evidence of the extent to which firms actually engage in tax arbitrage. This paper provides some evidence on the topic by focusing on a simple and observable corporate arbitrage...
A diversified portfolio of risk arbitrage positions produces an abnormal return of 0.6–0.9% per month over the period from 1981 to 1996. It trace these profits to practical limits on risk arbitrage. In the model of risk arbitrage, arbitrageurs’ risk-bearing capacity is constrained by deal completion risk and the size...
Capital structure arbitrage strategies currently are the fastest growing sector in the hedge fund market and in proprietary trading departments in large banks. The objective of the thesis is the theoretical and practical background of capital structure arbitrage and hedging strategies, and the empirical evidence of key relationships applying these...
The arbitrage-free range of values of the loss leg of an nth-to-default swap, and the arbitrage-free range of premium payments for such a swap, are derived for homogeneous baskets of arbitrary numbers of reference entities. Elementary arbitrage arguments are given which show that arbitrage opportunities exist if the prices lie...
Although tax arbitrage is central to the literatures on tax capitalization, implicit taxes, and even capital structure, there is little empirical evidence of the extent to which firms actually engage in tax arbitrage. This paper provides some evidence on the topic by focusing on a simple and observable corporate arbitrage...
Risk arbitrage is one of several styles of hedge fund investing that constitutes the event driven strategy. Event driven investing is a strategy that seeks to profit from special situations or opportunities to capitalize on price fluctuations or imbalances. It is generally equity-oriented investing designed to capture share price movement...
Arbitrage, in its purest form, is defined as the purchase of securities on one market for immediate resale on another market in order to profit from a price discrepancy. This results in immediate risk-free profit. Arbitrage is a very broad form of trading that encompasses many strategies; however, they all...
Hedge fund asset allocation can be a challenging endeavor given the dearth of tools available to deal with the unique statistical characteristics of long and short strategies. From a top-down perspective, the hedge fund industry is classified into several substyle categories including long/short equity, market neutral equity, convertible bond arbitrage,...
Capital structure arbitrage is one of the most recent hedge fund strategies that are rapidly gaining popularity amongst traders. This paper looks at the possibility of arbitraging mispricings between a company's high yield bond and stock. The argument behind the strategy is that the equity and debt markets quite often...
The term arbitrage denotes the simultaneous purchase and sale of identical assets in order to profit from a price difference between the two assets. The perfect case of arbitrage occurs when there is no risk involved and no capital is required. During merger and acquisition process, professional risk arbitragers purchase...
Capital Market Risk Advisors CMRA has recently completed a detailed fundamental analysis of the merger arbitrage strategy. This was accomplished by creating the “theoretical” performance of a “pure” merger arbitrage strategy. The major conclusions were divided in two parts. Firstly, the majority of merger arbitrage managers achieved their returns by...
This paper has conducted an analysis of risk and return characteristics of fixed income arbitrage. It shows that a widely-used fixed income arbitrage strategy based on swap spreads generates sizable positive excess returns over an extended period. The findings shows, that most of these excess returns represent compensation for risk;...
NEW YORK -- Dow Jones Newsletters today launched a new weekly publication, "Hedge Fund Trades," that covers the thriving hedge-fund industry in the U.S. and around the globe. In the inaugural issue, "Hedge Fund Trades" examines how hedge funds are playing the retail sector; how one manager is putting options...
NEW YORK -- Merrill Lynch (NYSE:MER) today introduced "The Merrill Lynch Equity Volatility Arbitrage Index," a tracking index, which is quoted intraday on Bloomberg under the symbol MLHFEV1.
Rose Glen Capital, a US-based arbitrage firm, has appointed US-based multimanager firm SEI Investments to administer a $115m private investment fund. Rose Glen Capital, a US-based arbitrage firm, has appointed US-based multimanager firm SEI Investments to administer a $115m private investment fund.
NEW YORK -- Bear, Stearns & Co. Inc. today announced that it recently launched The Bear Stearns Risk Arbitrage Cash Deal Index (Bloomberg: BSEICASH <Index>)--a new way to gain exposure to risk arbitrage deals in the US. The index, created by the Bear Stearns Equity Linked Strategy Team, is composed...
SACRAMENTO, Calif. - CalPERS invested $75 million in OZ Domestic Partners II, a multistrategy hedge fund managed by Och-Ziff Capital Management Group. The fund uses merger arbitrage, long-short equity special situations, convertible/capital structure SACRAMENTO, Calif. - CalPERS invested $75 million in OZ Domestic Partners II,...
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