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| Author: | Mitchell, M. Pulvino, T. |
| Title: | Characteristics of risk and return in risk arbitrage |
| Journal: | Journal of Finance
2001 : DEC, VOL. 56:6, p. 2135-2175 |
| Index terms: | ARBITRAGE MERGERS RETURN ON INVESTMENT RISK |
| Freeterms: | MARKET RETURN |
| Language: | eng |
| Abstract: | This paper analyzes 4750 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. |
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