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Working Paper
Runs to Banks: The Role of Cash Sweeps During Market Downturns
September 9, 2020
Sweep deposits from brokerage firms to banks vary inversely with the stock market. Overall, sweep deposits are a primary driver backing the inverse relation between total bank deposits and the stock market, and are not destabilizing, but instead stabilizing for banks as households reduce risk by converting stock to cash during periods of high stress.
White Paper
Market Crashes and Merger Completions
February 24, 2020
A primary concern in mergers and acquisitions is the risk that the deal may be cancelled before completion. We document that this "interim risk" varies asymmetrically with the aggregate stock market: When the market falls sharply, cash deals are more than twice as likely to be cancelled.
Journal Article
Arbitrage Crashes and the Speed of Capital
May 27, 2011
Modern finance theory rests on the ability of arbitrageurs to ensure that substantially similar assets trade at substantially similar prices.
Journal Article
Slow-Moving Capital
May 1, 2007
Unlike textbook arbitrageurs who instantaneously trade when prices deviate from fundamental values, real-world arbitrageurs must overcome various frictions.
Journal Article
Price Pressure Around Mergers
February 1, 2004
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
July 23, 2003
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.
Book
Takeovers, Restructuring and Corporate Governance
July 23, 2003
Mergers and acquisitions play an important role for companies and economies, yet a high number of M&A investments fail to earn their cost of capital. This book seeks to improve the success rate of M&A activities.
Journal Article
Limited Arbitrage in Equity Markets
December 17, 2002
This paper examines impediments to arbitrage in equity markets using a sample of 82 situations between 1985 and 2000.
Journal Article
Characteristics of Risk and Return in Risk Arbitrage
December 1, 2001
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.
Journal Article
New Evidence and Perspectives on Mergers
January 1, 2001
Empirical research has revealed a great deal about mergers and acquisitions trends and characteristics over the last century.