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Journal Article

Limited Arbitrage in Equity Markets

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

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.

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.

White Paper

The Limits of Convertible Bond Arbitrage

Convertible bond arbitrage suffered abysmally after the collapse of Lehman Brothers in 2008. This case study looks at how these strategies can break down in times of crisis, and the opportunities they offer in the aftermath.

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.

Journal Article

The Value of Corporate Takeovers

This article summarizes the results of three studies of the value of corporate takeovers.

Interview

Words From the Wise: An AQR Interview with Ed Thorp

We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.

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

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.