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Characteristics of Risk and Return in Risk Arbitrage
Open accessAbstract
This paper analyzes 4,750 mergers from 1963 to 1998 to characterize the risk and return in risk arbitrage. Results indicate that risk arbitrage returns are positively correlated with market returns in severely depreciating markets but uncorrelated with market returns in flat and appreciating markets. This suggests that returns to risk arbitrage are similar to those obtained from selling uncovered index put options. Using a contingent claims analysis that controls for the nonlinear relationship with market returns, and after controlling for transaction costs, we find that risk arbitrage generates excess returns of four percent per year.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
Hedge Fund Benchmarks: A Risk-Based Approach
Fung, W., & Hsieh, D. A. (2004) · Financial Analysts Journal · doi:10.2469/faj.v60.n5.2657 · Cited by 1,031
Role of Managerial Incentives and Discretion in Hedge Fund Performance
AGARWAL, V., DANIEL, N. D., & NAIK, N. Y. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01499.x · Cited by 688
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆
KOSOWSKI, R., NAIK, N., & TEO, M. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.12.009 · Cited by 594
Predictable behavior, profits, and attention
Seasholes, M. S., & Wu, G. (2007) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2007.03.002 · Cited by 384
Metadata
- Authors
- Mitchell, M., & Pulvino, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2001-12
- Volume
- 56
- Issue
- 6
- Pages
- 2135-2175
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123722107
- Cited by
- 765
- References
- 2
- FWCI
- 37.94
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
