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...
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...
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...
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...
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...
OLDWICK, N.J. -- A.M. Best Co. has affirmed the Best's Syndicate Rating of A Excellent and the issuer credit rating of "a" of Lloyd's Syndicate 2007 (formerly known as Lloyd's Syndicate 2147) United Kingdom, which is managed by Novae Syndicates Limited NSL. The outlook for both ratings is stable.
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...
OLDWICK, N.J. -- A.M. Best Co. has affirmed the Best's Syndicate Rating of A Excellent and the issuer credit rating of "a" of Lloyd's Syndicate 3000 United Kingdom, which is managed by Markel Syndicate Management Ltd. The outlook for both ratings is stable.
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....
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;...
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...
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...
OLDWICK, N.J. -- A.M. Best Co. has affirmed the Best's Syndicate Rating of A Excellent and the issuer credit rating ICR of "a+" of Lloyd's Syndicate 382 United Kingdom, which is managed by Hardy Underwriting Agencies Ltd United Kingdom. The outlook remains stable. E[acute accent]The ICR of syndicate 382 reflects...
HAMILTON, Bermuda -- Aspen Insurance Holdings Limited ("Aspen" or the "Company") (NYSE:AHL) today announced that it received approval from Lloyd's to establish a new Lloyd's Syndicate, called Syndicate 4711 with the pseudonym of "ASP". Syndicate 4711 will commence underwriting from early April for business incepting from May 1, 2008.
To the casual observer, the fundamental sources of leverage - technology, best practices, and scale -- that were behind the growth of IT outsourcing are now driving the pace of BPO outsourcing. However, a deeper look reveals that the primary driver is the combination of labor arbitrage with these leverage...
OLDWICK, N.J. -- A.M. Best Co. has affirmed the Best's Syndicate Rating of A Excellent and the issuer credit rating ICR of "a" of Lloyd's Syndicate 2003, managed by Catlin Underwriting Agencies Ltd. CUAL, which forms an integral part of Catlin Group Limited CGL, a Bermudian holding company. The outlook...
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...
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