17
Nov
09

Merger Arbitrage

El lanzamiento de IQ ARB Merger Arbitrage ETF, le permite al blog Abnormal Returns hacer un rejunte sobre Merger Arbitrage.

Aqui les paso un paper sobre Merger Arbitrage:

Merger Arbitrage and Idiosyncratic Risk (Link bajarlo desde Chicago Booth)

Abstract:

This paper identifies a merger arbitrage risk factor that is superior to market beta in explaining the risks assumed by a merger arbitrage portfolio. Previous research has documented a weak tie between market beta and merger arbitrage returns. Mitchell and Pulvino (2002), for example, note that the beta to a merger arbitrage strategy appear to be nonlinear; they are close to zero in a flat to rising market but large in a falling market. However, when our risk factor is added to market beta in a two-factor risk model, the resulting beta cannot be statistically distinguished from zero in all market conditions.

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