Showing 1 - 8 of 8 results

Sort By
  • Relevance
  • Newest
  • Oldest

Working Paper

Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-Free Term Structure Model

In this paper, researchers explore the idea that knowing how much professionals disagree about how quickly the U.S. economy is emerging from a recession may produce actionable insight into the future performance of the bond market.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.

Journal Article

Arbitrage Crashes and the Speed of Capital

Modern finance theory rests on the ability of arbitrageurs to ensure that substantially similar assets trade at substantially similar prices.

Journal Article

When Everyone Runs for the Exit

The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.

Journal Article

Price Pressure Around Mergers

It has been well documented that when companies use stock as the currency in a takeover, the acquiring company’s share price tends to fall between –2% and –3% around the time a deal is announced.

Book

Merger Arbitrage

How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.

Journal Article

Characteristics of Risk and Return in Risk Arbitrage

After the announcement of a merger or acquisition, the target company’s stock typically trades at a discount to the price offered by the acquiring company.

Book

A Clinical Exploration of Value Creation and Destruction in Acquisitions

How and why is value created or destroyed in mergers and acquisitions? To answer these questions, we present analyses of two acquisitions: Cooper Industries’ acquisition of Cameron Iron Works in 1989 and Premark’s acquisition of Florida Tile in 1990.