Showing 1 - 10 of 58 results for 'Arbitrage'

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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.

White Paper

Arbitrage: A Brief Introduction

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.

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

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.

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.

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.

News

CNH Partners Cofounder Todd Pulvino Presents Diversified Arbitrage Strategy

Todd Pulvino, a co-founder of AQR’s arbitrage affiliate, CNH Partners, was asked to talk about the firm’s Diversified Arbitrage Strategy at meeting of retirement specialists in Merrill Lynch’s Global Wealth & Retirement Solutions division in Naples, Florida, on February 6. As a tenured associate professor of finance at Northwestern University’s Kellogg School of Management, Pulvino had focused his research on the risks and returns in event arbitrage.

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.

AQR Insight Award

Comomentum: Inferring Arbitrage Activity From Return Correlations

2014 HONORABLE MENTION Dong Lou, Ph.D., and Christopher Polk, Ph.D.

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.