FX Research - Merger Arbitrage

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Merger Arbitrage

Merger Arb Alpha

•	Mitchell and Pulvino, “Characteristics of Risk and Return in Risk Arbitrage,”, The Journal of Finance 56, no. 6 (2001): 2135–75.

•	Mark Mitchell & Todd Pulvino & Erik Stafford, 2002. "Limited Arbitrage in Equity Markets," Journal of Finance, American Finance Association, vol. 57(2), pages 551-584, 04.

•	Yang T, Branch B, Merger Arbitrage: Evidence of Profitability, UMass Working Paper

•	Irina Stefanescu, Eliezer M. Fich, Expanding the Limits of Merger Arbitrage", University of North Carolina Working Paper, May 18, 2003

•	Richard Horwitz, Luis Rodriguez, "Merger Arbitrage Funds: Do They Deliver What They Promise?", Capital Market Risk Advisors

•	P Sudarsanam, D V Nguyen, UK Evidence on the Profitability and the Risk-Return Characteristics of Merger Arbitrage, SSRN, March 2008

•	Baker, Malcolm, and Serkan Savasoglu. 2002. “Limited Arbitrage in Mergers and Acquisitions.” Journal of Financial Economics, vol. 64, no. 1 (April):91–115.

•	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):469–504.

•	Gaurav Jetley, Xinyu Ji, The Shrinking Merger Arbitrage Spread: Reasons and Implications, Financial Analysts Journal, March/April 2010, Vol.66, No.2, pp.54-68.

Misc Merger Arb

•	Khalil, Samer, Magnan, Michel and André, Paul, "Termination Fees in Mergers and Acquisitions: Protecting Investors or Managers?" (January 2005).

•	Officer, Micah S. 2003. Termination Fees in Mergers and Acquisitions.” Journal of Financial Economics, vol. 69, no. 3 (September):431–467.

•	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.

•	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):495–526.

•	Hsieh, Jim, and Ralph A. Walkling. 2005. “Determinants and Implications of Arbitrage Holdings in Acquisitions.” Journal of Financial Economics, vol. 77, no. 3 (September):605–648.

•	Jegadeesh, Narasimhan and Tang, Yue, Institutional Trades Around Takeover Announcements: Skill vs. Inside Information (March 11, 2010). Available at SSRN:

Other Event Driven Strategies

•	Lakonishok, Josef, and Theo Vermaelen. 1990. “Anomalous Price Behavior around Repurchase Tender Offers.” Journal of Finance, vol. 45, no. 2 (June):455–477.

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