324
Views
2
CrossRef citations to date
0
Altmetric
Alternative Investments

The Shrinking Merger Arbitrage Spread: Reasons and Implications

&
Pages 54-68 | Published online: 31 Dec 2018

References

  • Ackermann, Carl, Richard McEnally, and David Ravenscraft. 1999. “The Performance of Hedge Funds: Risk, Return, and Incentives.” Journal of Finance, vol. 54, no. 3 (June): 833–87410.1111/0022-1082.00129.
  • Agarwal, Vikas, and Narayan Y. Naik. 2000. “On Taking the ‘Alternative’ Route: Risks, Rewards, and Performance Persistence of Hedge Funds.” Journal of Alternative Investments, vol. 2, no. 4 (Spring): 6–2310.3905/jai.2000.318973.
  • Atiase, Rowland K.. 1985. “Predisclosure Information, Firm Capitalization, and Security Price Behavior around Earnings Announcements.” Journal of Accounting Research, vol. 23, no. 1 (Spring): 21–3610.2307/2490905.
  • Baker, Malcolm, and Serkan Savasoglu. 2002. “Limited Arbitrage in Mergers and Acquisitions.” Journal of Financial Economics, vol. 64, no. 1 (April): 91–11510.1016/S0304-405X(02)00072-7.
  • Barclay, Michael J., William G. Christie, Jeffrey H. Harris, Eugene Kandel, and Paul H. Schultz. 1999. “Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks.” Journal of Finance, vol. 54, no. 1 (February): 1–3410.1111/0022-1082.00097.
  • Bates, Thomas W., and Michael L. Lemmon. 2003. “Breaking Up Is Hard to Do? An Analysis of Termination Fee Provisions and Merger Outcomes.” Journal of Financial Economics, vol. 69, no. 3 (September): 469–50410.1016/S0304-405X(03)00120-X.
  • Berk, Jonathan B., and Richard C. Green. 2004. “Mutual Fund Flows and Performance in Rational Markets.” Journal of Political Economy, vol. 112, no. 6 (December): 1269–129510.1086/424739.
  • Bessembinder, Hendrik. 1999. “Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison.” Journal of Financial and Quantitative Analysis, vol. 34, no. 3 (September): 387–40710.2307/2676265.
  • Bessembinder, Hendrik, and H.M. Kaufman. 1997. “A Cross-Exchange Comparison of Execution Costs and Information Flow for NYSE-Listed Stocks.” Journal of Financial Economics, vol. 46, no. 3 (December): 293–31910.1016/S0304-405X(97)00032-9.
  • Block, Stanley. 2006. “Merger Arbitrage Hedge Funds.” Journal of Applied Finance (JAF), vol. 16, no. 1 (Spring/Summer): 88–96.
  • Davidson, Wallace N., Dipa Dutia, and Louis Cheng. 1989. “A Re-Examination of the Market Reaction to Failed Mergers.” Journal of Finance, vol. 44, no. 4 (September): 1070–1083.
  • Dempsey, Stephen J.. 1989. “Predisclosure Information Search Incentives, Analyst Following, and Earnings Announcement Price Response.” Accounting Review, vol. 64, no. 4 (October): 748–757.
  • French, Kenneth R.. 2008. “Presidential Address: The Cost of Active Investing.” Journal of Finance, vol. 63, no. 4 (August): 1537–1574.
  • Fung, William, and David A. Hsieh. 2004. “Hedge Fund Benchmarks: A Risk-Based Approach.” Financial Analysts Journal, vol. 60, no. 5 (September/October): 65–8010.2469/faj.v60.n5.2657.
  • Fung, William, David A. Hsieh, Narayan Y. Naik, and Tarun Ramadorai. 2007. “Hedge Funds: Performance, Risk and Capital Formation.” AFA Chicago Meeting Paper (19 July).
  • HFR. 2008. “HFR Industry Report: Year End 2007.” Hedge Fund Research.
  • Hsieh, Jim, and Ralph A. Walkling. 2005. “Determinants and Implications of Arbitrage Holdings in Acquisitions.” Journal of Financial Economics, vol. 77, no. 3 (September): 605–64810.1016/j.jfineco.2004.08.003.
  • Jaeger, Robert A.. 2003. All About Hedge Funds: The Easy Way to Get Started. New York: McGraw-Hill.
  • Jansen, Greg, Noah Yechiely, and Amit Srivastava. 2007. “Hedge Funds Levering Betas.” Bridgewater Daily Observations Bridgewater Associates, Inc. (10 January).
  • Jindra, Jan, and Ralph A. Walkling. 2004. “Speculation Spreads and the Market Pricing of Proposed Acquisitions.” Journal of Corporate Finance, vol. 10, no. 4 (September): 495–52610.1016/S0929-1199(03)00030-0.
  • Lakonishok, Josef, and Theo Vermaelen. 1990. “Anomalous Price Behavior around Repurchase Tender Offers.” Journal of Finance, vol. 45, no. 2 (June): 455–47710.2307/2328665.
  • Larcker, David F., and Thomas Lys. 1987. “An Empirical Analysis of the Incentives to Engage in Costly Information Acquisition: The Case of Risk Arbitrage.” Journal of Financial Economics, vol. 18, no. 1 (March): 111–12610.1016/0304-405X(87)90063-8.
  • Mitchell, Mark, and Todd Pulvino. 2001. “Characteristics of Risk and Return in Risk Arbitrage.” Journal of Finance, vol. 56, no. 6 (December): 2135–217510.1111/0022-1082.00401.
  • Officer, Micah S.. 2003. “Termination Fees in Mergers and Acquisitions.” Journal of Financial Economics, vol. 69, no. 3 (September): 431–46710.1016/S0304-405X(03)00119-3.
  • Officer, Micah S.. 2007. “Are Performance Based Arbitrage Effects Detectable? Evidence from Merger Arbitrage.” Journal of Corporate Finance, vol. 13, no. 5 (December): 793–81210.1016/j.jcorpfin.2007.02.006.
  • Pontiff, Jeffrey. 1996. “Costly Arbitrage: Evidence from Closed-End Funds.” Quarterly Journal of Economics, vol. 111, no. 4 (November): 1135–115110.2307/2946710.
  • Shleifer, Andrei, and Robert W. Vishny. 1997. “The Limits of Arbitrage.” Journal of Finance, vol. 52, no. 1 (March): 35–5510.2307/2329555.
  • Walkling, Ralph A.. 1985. “Predicting Tender Offer Success: A Logistic Analysis.” Journal of Financial and Quantitative Analysis, vol. 20, no. 4 (December): 461–47810.2307/2330762.
  • Wasserstein, Bruce. 1998. Big Deal: The Battle for Control of America’s Leading Corporations. New York: Warner Books.
  • Zhong, Zhaodong. 2008. “Why Does Hedge Fund Alpha Decrease over Time? Evidence from Individual Hedge Funds.” Working paper, Rutgers Business School (January).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.