Advanced Search
MyIDEAS: Login to save this paper or follow this series

Risk Arbitrage-U.S. Financial Markets

Contents:

Author Info

  • Supreena Narayanan

    (Stockholm School of Economics)

Abstract

This paper analyses risk arbitrage in U.S. financial markets. The study by Mitchell, Mark and Todd Pulvino (2001) has been extended to study the U.S. financial markets scenario from 1963 to 2004. In particular, two research questions are pursued-(1) What are the effects of stock market, business conditions as well as the Merger and Acquisition Trend on risk arbitrage activities in the U.S (2) What is the current trend and effect of the U.S. financial regulatory mechanism on risk arbitrage? The results of the paper are: 1)Returns associated with risk arbitrage are more pronouncedly decreased in down/severely depreciating stock market and business conditions especially when there is possibility of deal failure but remain rather uncorrelated with market returns when the market is flat and appreciating. 2)The probability of a merger failing is a decreasing function of market returns in the last two months, indicating that deals are more likely to fail following market downturns. 3)There has also been a growing trend in US financial market regulatory mechanism to reduce systemic risk, eliminate legal uncertainty, control regulatory arbitrage and to have a closer look on derivatives trading which could be potentially used for fraud or manipulation. The current focus of the financial regulatory mechanism is to curb illegal trading in risk arbitrage activities through limits on trading volume and control of regulatory arbitrage opportunities which should continue into the future.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://128.118.178.162/eps/fin/papers/0411/0411002.pdf
Download Restriction: no

File URL: http://128.118.178.162/eps/fin/papers/0411/0411002.ps.gz
Download Restriction: no

File URL: http://128.118.178.162/eps/fin/papers/0411/0411002.doc.gz
Download Restriction: no

Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0411002.

as in new window
Length: 53 pages
Date of creation: 03 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0411002

Note: Type of Document - doc; pages: 53
Contact details of provider:
Web page: http://128.118.178.162

Related research

Keywords:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Larcker, David F. & Lys, Thomas, 1987. "An empirical analysis of the incentives to engage in costly information acquisition : The case of risk arbitrage," Journal of Financial Economics, Elsevier, vol. 18(1), pages 111-126, March.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0411002. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.