References in periodicals archive ?
A comparison of the cost of the replicating portfolio and the cost of the risk arbitrage strategy will provide us with an estimate of the abnormal returns.
Our results show that the risk arbitrage strategy is not as market neutral as some claim and are consistent with other literature on risk arbitrage for takeover offers not involving collars.
The Jacklin arbitrage strategy is infeasible in the segregated exchange model because of the entry fees ex ante and the separation of agents in different exchanges ex post.
In both cases, the ratio of DJIA level to DIA price is 96.0515x:1, as it was in Scenarios 1 and 2.1 present two scenarios to reinforce the idea that the arbitrage strategy and payoff is the same regardless of what specific prices and values the ETF and index take so long as the ratio between them is sufficiently below 100:1.
This result is consistent with Hypothesis 5, that institutions delay their sale or pursue a long arbitrage strategy, because dividend taxes are irrelevant for them and the expected return is positive.
(9.) An alternative arbitrage strategy involves buying and immediately redeeming the SPDRS and then selling the shares received.
The Merger Arbitrage strategy was the strongest performer for the month, finished down 0.43 percent in August.
John Paulson, the founder of Paulson & Co Inc., said, "Implementing our existing event arbitrage strategy via a UCITS vehicle allows us to provide a liquid, regulated, onshore European fund that helps to further diversify our investor base.
The Credit Suisse Liquid Alternative Beta Index (CSLAB) said the strongest performer in the index was the Merger Arbitrage strategy, which finished down 0.25 percent in June.
In terms of the investment strategy, ICBC flexibly arranges the ratios of investment into treasury bond futures and spots by channeling most of the funds into high-credit rating bonds and projects with stable return and controllable risks, and spending a small part of funds on treasury bond futures under the arbitrage strategy. Such portfolio investment is conducive to the mitigation of futures risks, reduction of fund cost and hedging of customers assets.
The Merger Arbitrage strategy was the strongest performer, finishing up 1.78 percent in April.