Characteristics of risk and return in risk arbitrage

Mitchell, M., & Pulvino, T. (1998). Characteristics of risk and return in risk arbitrage. Journal of Finance, 56(6), 2135-2175.

Type

Journal article

Intellectual base

Primary research

Year

1998

DOI

10.1111/0022-1082.00401

Link

https://doi.org/10.1111/0022-1082.00401

Cited from

economics_finance

Cited by

1 citation across 1 artifact.

Primes

• Arbitrage (Finance)
  • Mitchell and Pulvino (2001), studying 4,750 mergers over 1963–1998, show that risk-arbitrage returns exhibit a piecewise-linear payoff resembling a written index put: positive flat returns in calm markets but sharply correlated with market declines during crises, demonstrating that the spread compensates arbitrageurs for bearing deal-failure risk concentrated in market downturns.

Verification

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