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Arbitrage
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6.825 documents for Arbitrage
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This article examines whether mean reversion in stock index basis changes is actually induced by arbitrage trading, using intra-day arbitrage trade data. The empirical evidence suggests that arbitrage trading alone cannot account for all of the mean reversion in basis changes, even when infrequent trading is controlled for. This general mean reversion is consistent with mean reversion in liquidity and partial adjustment in the cash market. The behavior of arbitrageurs appears highly competitive. We find that on average the net arbitrage profit is at the competitive level of zero. Furthermore, it is suggested that some mispricing persistence may be related to time-varying liquidity. Accordingly, the results indicate that arbitrageurs pay attention to the depth of the market and value the...
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This paper explores the performance of risk arbitrage for failed acquisition attempts. We find that the return of a risk arbitrage position for a failed acquisition attempt varies with the payment method and the acquisition type. This finding supports the proposition that the payment method and the acquisition type provide informational signals relevant to both firms' values and the likelihood of the target receiving competing offers. These signals help explain the performance of a risk arbitrage position for a failed acquisition attempt. We also find that a simple prediction model based on our research may be helpful for those seeking to enhance the returns from their risk arbitrage positions.
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The capital asset-pricing model (CAPM) is ill-suited to be used to measure damages in Rule 10b-5 securities misrepresentation cases because the information is focused on predicting future returns. Efficient market theories like the CAPM are designed to assist portfolio managers in projecting future returns. Damages in securities fraud cases should be focused on what the historical data would have looked like but for the misrepresentation. Methods of damage measurement should be based on arbitrage pricing theory.
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Financial institutions frequently offer low introductory interest rates to entice individuals to open and use credit accounts with their firm. This paper examines the possibility of earning arbitrage profits by taking advantage of these special offers. We develop a formula to measure the profit potential from undertaking credit card arbitrage and identify conditions conducive to profitable and unprofitable arbitrage. In addition, we examine the sensitivity of the arbitrage transaction to changes in interest rates, interest rate levels, and fees. Finally, we examine the impact of credit card arbitrage on the credit rating of the arbitrageur.
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NEW YORK, Dec. 1, 2010 /PRNewswire-FirstCall/ -- The Credit Suisse Merger Arbitrage Liquid Index (Net) ETN (the "ETN") (NYSE Arca: CSMA) is linked to the performance of the Credit Suisse Merger Arbitrage Liquid Index (Net), an index which is calculated intraday and aims to gain broad exposure to the merger arbitrage strategy. (Logo: http://photos.prnewswire.com/prnh/20091204/CSLOGO)
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The changes to the S&P 500 index provide a unique laboratory for assessing the degree to which institutional versus individual investors capitalize on available arbitrage opportunities. We provide new evidence on the S&P 500 game using intraday data and examining the role of institutional versus individual investors in both open hours and after-hours trading. Using a sample of 135 changes to the S&P 500 index, we find the highest returns from the S&P game are obtained by investors who enter the game at the beginning of the after-hours session of the announcement date. Profits from arbitrage remain even after accounting for the bid-ask spread.
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Question What's arbitrage? - E.M., Dalton, Ga.
