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- catalog abstract "This paper uses a sample of 4,750 stock swap mergers, cash mergers, and cash tender offers during 1963-1998 to characterize the risk and return in risk arbitrage. For out-of-sample comparison, we also examine the risk/return profile for a sample of active risk arbitrage hedge funds during 1990-1998. Results from both samples 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 result suggests that returns to risk arbitrage, a contingent claims analysis that incorporates the non-linearity in returns provides a more accurate description of the risk/return relationship. After controlling for both the non-linear return profile and transaction costs, we find that risk arbitrage generates excess returns of 4% per year.".
- catalog contributor b12147588.
- catalog contributor b12147589.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description "Includes bibliographical references.".
- catalog description "This paper uses a sample of 4,750 stock swap mergers, cash mergers, and cash tender offers during 1963-1998 to characterize the risk and return in risk arbitrage. For out-of-sample comparison, we also examine the risk/return profile for a sample of active risk arbitrage hedge funds during 1990-1998. Results from both samples 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 result suggests that returns to risk arbitrage, a contingent claims analysis that incorporates the non-linearity in returns provides a more accurate description of the risk/return relationship. After controlling for both the non-linear return profile and transaction costs, we find that risk arbitrage generates excess returns of 4% per year.".
- catalog extent "54 p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 01-071.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 01-071".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Characteristics of risk and return in risk arbitrage / Mark Mitchell, Todd Pulvino.".
- catalog type "text".