Therefore, any arbitrage opportunities under fair value conditions will translate into distortions to financial reporting, regardless of whether one can actually implement the arbitrage strategy
or practically hedge.
We utilize the event time approach to compare the raw returns of a risk arbitrage strategy
to a conservative buy and hold the market strategy.
Moreover, the annuity arbitrage strategy
can produce a very attractive net return on the funds committed to the plan--a return that can outperform fixed income alternatives and exceed the results one might obtain through a charitable gift annuity.
The Jacklin arbitrage strategy
pins down the interest rate in the retrade market at R = [??].
Avellaneda & Lee (2010) use Principal Component Analysis or sector ETFs in their statistical arbitrage strategy
. In all these cases, they model the residuals or idiosyncratic components of a portfolio of pairs, as mean-reverting processes.
Jennica will play a critical role coordinating relationships on behalf of each of our ETF, institutional options and special situations trading desks, while Randy will add yet a further degree of depth for clients that depend on us for option market and arbitrage strategy
However, we do not see ashort InterRAO long OGKs' as an attractive arbitrage strategy
given the deal's drawnout timeline - OGK shareholders are expected to receive their InterRAO shares only in November.
With a type of arbitrage strategy
, investors can convert the inflation-linked cash flows from a TIPS issue into fixed cash flows using inflation swaps.
That's a lot easier to grasp than the rampant currency speculation that forced Thailand to devalue the baht, or how LTCM's arbitrage strategy
was exposed by Russia's debt default.
Thus, implementing the arbitrage strategy
with the DJIA stocks and Diamonds calls for a straightforward rule of starting with one share of each company and then scaling it up to the limit of available investable funds.
As previously discussed, one direct implication of Equation (1) is that the incentive to pursue a long arbitrage strategy
increases with the investors' net dividend tax credit [epsilon]kD - [tau] (l+[epsilon]k)D.
Mitchell and Pulvino (2001) tracked the returns of merger arbitrage funds to a passive merger arbitrage strategy
. Duarte, Longstaff, and Yu (2005) studied fixed-income arbitrage strategies replicating the returns of commonly used strategies based on observable prices of fixed-income securities and their derivatives.