Arbitrage changes for small issuers could reemerge
- The arbs are back. Long live Ivan Boesky! Taub, Stephen // FW;11/9/93, Vol. 162 Issue 22, p16
Reports on the return of the merger mania and the arbitrageurs. Definition of merger arbitrage; Soaring merger business; Difference from the mergers of the 1980s; Buyer's sound business reason for the acquisition; Boosting their returns by hedging; Expected returns of about 15 percent; Increased...
- Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash. Dwyer Jr., Gerald P.; Locke, Peter // Working Paper Series (Federal Reserve Bank of Atlanta);Nov95, Vol. 1995 Issue 17, precedes page 1 p1
Examines the index arbitrage and nonlinear dynamics between the S&P 500 futures and cash indexes in the United States. Use of a cost of carry model with nonzero transactions; Cointegration of the futures and cash indexes; Estimation strategy; Mean reversion in the S&P 500; Relation of nonlinear...
- The no-arbitrage condition and financial markets with transaction costs and heterogeneous information: The bid-ask spread. Ardalan, Kavous // Global Finance Journal;Spring/Summer99, Vol. 10 Issue 1, p83
This paper investigates the implications of the no-arbitrage (NA) condition in markets with transaction costs and heterogeneous information. Dermody and Prisman (1993) showed that, in financial markets with increasing marginal transaction costs, the NA condition is equivalent to the existence of...
- Looking for arbitrage. Flam, Sjur Didrik // International Review of Economics & Finance;2000, Vol. 9 Issue 1, p1
Presents information on how to find an arbitrage. Financial contracts considered; Arbitrage and least norm problems; Conclusions.
- Stability of the arbitrage pricing theory model factors. Hays, Patrick A.; Upton, David E. // Quarterly Journal of Business & Economics;Spring97, Vol. 36 Issue 2, p71
Examines the stability of empirically estimated arbitrage pricing theory (APT) model factor sensitivities. Arbitrage pricing theory; Ashley stability test; Existence of parameter instability for all factors in the APT model; Absence of any pattern or trend in the parameter instability.
- On the closedness of sums of convex cones in ... Kabanov, Yuri; R�sonyi, Mikl�s; Stricker, Christophe // Finance & Stochastics;2003, Vol. 7 Issue 3, p403
This note is a natural complement to our previous work where we studied no-arbitrage criteria for markets with efficient friction. We discuss, in our general geometric framework, the recent result of Walter Schachermayer on a necessary and sufficient condition for the existence of strictly...
- Two-Part Pricing with Costly Arbitrage. McManus, Brian // Southern Economic Journal;Oct2001, Vol. 68 Issue 2, p369
Examines the optimal two-part pricing strategy with arbitrage of a monopolist. Use of a model of consumer demand, firm pricing and side transaction; Study on the optimal pricing of a monopolist; Analysis of the pricing strategy of firms with a subset of consumer population engage in arbitrage.
- WAY OFF WALL STREET. Aley, James; Welsh, Tricia // Fortune;2/5/1996, Vol. 133 Issue 2, p114
Describes seven entrepreneurs launching offshore money funds based on artificial intelligence and infotech. Profiles seven `quants,' Wall Street jargon for `quantitative analysts' who use mathematics, statistics, and computer technology to solve financial problems. Recognizing the method to...
- The goose that roared. Walsh, Max // Bulletin with Newsweek;8/13/2002, Vol. 120 Issue 6337, p18
Comments on taxation policy. Description of taxation by Jean Baptiste Colbert, general controller of Louis XIV of France; Emergence of unintended consequences from such policies; Proliferation of the practice of rewarding employees with options from tax arbitrage.