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White Paper
Are SPACs Still Alive?
October 30, 2024
The recent rise and fall of SPAC issuance and the poor returns of SPAC mergers might suggest that SPACs are a flash in the pan, but this is far from the truth. To the contrary, SPACs have been a compelling asset class for more than two decades. We explore the SPAC market, its history, and its investment characteristics, including why we believe SPACs are a safe investment when managed properly, with the potential for significant upside.
White Paper
Corporate Arbitrage
May 18, 2023
We introduce the main corporate arbitrage strategies, make the case for a multi-strategy approach, and review the role of a corporate arbitrage allocation within a broader portfolio.
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.
Interview
Meet the Expert: Todd Pulvino on Diversified Arbitrage
November 22, 2019
Todd Pulvino, Principal of CNH Partners, an affiliate of AQR, explains what Diversified Arbitrage strategies are and how they tend do perform during different economic cycles.
Interview
Words From the Wise: An AQR Interview with Ed Thorp
January 10, 2018
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.
Working Paper
Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-Free Term Structure Model
July 24, 2015
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
January 2, 2014
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
May 27, 2011
Modern finance theory rests on the ability of arbitrageurs to ensure that substantially similar assets trade at substantially similar prices.
White Paper
Arbitrage: A Brief Introduction
October 1, 2009
Arbitrage strategies use relative-value trades to generate potential excess returns with attractive risk profiles. We offer a brief introduction to arbitrage, including descriptions of several common strategies and an overview of historical performance.
White Paper
The Limits of Convertible Bond Arbitrage
September 1, 2009
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.