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"Arbitrage."
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Risk arbitrage : an investor's guide
Both the growth in hedge funds and the changing nature of the merger and acquisition business have affected the process of risk arbitrage and the techniques used to participate in the business. 'Risk Arbitrage' goes to great lengths to reflect these changes with case studies on new mergers, and more.
Book
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
We derive a Bayesian prior from a no-arbitrage affine term structure model and use it to estimate the coefficients of a vector autoregression of a panel of government bond yields, specifying a common time-varying volatility for the disturbances. Results based on US data show that this method improves the precision of both point and density forecasts of the term structure of government bond yields, compared to a fully fledged term structure model with time-varying volatility and to a no-change random walk forecast. Further analysis reveals that the approach might work better than an exact term structure model because it relaxes the requirements that yields obey a strict factor structure and that the factors follow a Markov process. Instead, the cross-equation no-arbitrage restrictions on the factor loadings play a marginal role in producing forecasting gains.
Paper
Warren Buffett and the art of stock arbitrage : proven strategies for arbitrage and other special investment situations
Analyzes Buffett's techniques for arbitrage and special situations investing and offers step-by-step instructions on how to take advantage of such events as spin-offs, liquidations, recapitalizations, and tender offers.
BOOK
Merger Arbitrage in Germany
This paper analyses the risk and return characteristics from a merger arbitrage trading strategy in Germany for the first time. The extant literature focuses mainly on data sets from Anglo-American based jurisdictions with mixed results. We argue that because in Germany i) acquisition laws bias consideration toward cash bids thereby decreasing the uncertainty of announced transactions (versus share offers) and ii) the Aufsichstrat (supervisory board with employee participation) has corporate governance oversight over any proposed merger such that only bids tacitly approved by it are likely to be announced in the first instance, a merger arbitrage trading strategy in a German setting will have different risk and return characteristics. To estimate the significance of merger arbitrage returns we construct a realistic measure of risk arbitrage which factors in transaction costs and other practical limitations encountered by arbitrageurs employing this strategy. We also construct two additional portfolios, an equally-weighted portfolio and a value weighted portfolio, for comparison purposes. The results show that the practical risk arbitrage manager portfolio fails to outperform on a risk-adjusted basis indicating that insofar as the German setting yields benefits in the form of lower risk, these are properly priced by the market.
Journal Article
