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Takeovers, Freezeouts, and Risk Arbitrage [PDF]
Games, 2001 This paper develops a dynamic model of tender offers in which there is trading on the target’s shares during the takeover, and bidders can freeze out target shareholders (compulsorily acquire remaining shares not tendered at the bid price), features that
Armando Gomes
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Spatial Competition, Arbitrage, and Risk in U.S. Soybeans [PDF]
Journal of Agricultural and Resource Economics, 2015 This paper analyzes spatial arbitrage and vertical integration of a U.S. soybean-trading firm. A risk-constrained optimization model using Monte Carlo simulation and copula joint distributions is specified.
Kristopher Skadberg +3 more
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Emerging markets' response to COVID-19: Insights from arbitrages strategies [PDF]
HeliyonGlobal capital markets are sensitive to extreme and physical events. This research explores the influence of COVID-19 on cross-border arbitrage strategies in emerging markets.
Wang Jialu +3 more
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Arbitrage Risk and Stock Mispricing
SSRN Electronic Journal, 2008 AbstractIn this paper we examine the relation between equity mispricing and arbitrage risk and find that stocks with high arbitrage risk have higher estimated mispricing than stocks with low arbitrage risk. These results are not limited to high book-to-market or small capitalization stocks, and they are not sensitive to transaction and short-selling ...
John A. Doukas +2 more
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Derivative Strategies in Risk Arbitrage
SSRN Electronic Journal, 2011 This paper discusses option strategies that can be used to enhance returns or reduce risk in a merger book. Examples are given with comparison of alternative implementations of the merger strategy done in terms of upside versus downside quantified in terms of deal break p&l.
Mohsen Mazaheri
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The application of the improved option parity arbitrage model in SSE 50ETF option [PDF]
E3S Web of Conferences, 2021 The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities.
Xu Liu
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP [PDF]
Seonmul yeongu, 2022 This paper identifies the “idiosyncratic basis”, the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollar-denominated bonds relative to ...
Karim Henide
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Games in a foreign exchange market and solutions
Financial Internet Quarterly, 2023 Exchange rate and its related risk management are too important for main participants in foreign exchange markets. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding replication ...
Habibi Reza
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The automated equity-split cryptocurrency arbitrage strategy [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2022 Cryptocurrency prices frequently fluctuate, which creates price differences in each market. The price gap presents an excellent opportunity for arbitrage in cryptocurrency markets.
Naratorn Boonpeam +3 more
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