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Journal Article

Limited Arbitrage in Equity Markets

This paper examines impediments to arbitrage in equity markets using a sample of 82 situations between 1985 and 2000.

Journal Article

Characteristics of Risk and Return in Risk Arbitrage

After the announcement of a merger or acquisition, the target company’s stock typically trades at a discount to the price offered by the acquiring company.

Journal Article

Price Pressure Around Mergers

It has been well documented that when companies use stock as the currency in a takeover, the acquiring company’s share price tends to fall between –2% and –3% around the time a deal is announced.

Journal Article

Do Bad Bidders Become Good Targets?

The stock market’s reaction to a corporate merger can be a useful signal about whether the transaction will succeed as well as whether the acquiring company may itself become a takeover target. In reviewing the stock price movements of 1,158 firms from 1980 through July 1988 to gauge market reactions to transactions from 1982 to 1986, we found the average stock price move after acquisition announcements was not significantly different from zero. However, there was a significant difference in market reactions to acquisitions that subsequently were sold off compared with those that were not subsequently divested.

Journal Article

The Value of Corporate Takeovers

This article summarizes the results of three studies of the value of corporate takeovers.

Journal Article

The Stock Price Response to Pension Terminations and the Relation of Terminations With Corporate Takeovers

This article offers observation on the stock price response to pension terminations and the relation of terminations with corporate takeovers in the U.S.

Journal Article

Arbitrage Crashes and the Speed of Capital

Modern finance theory rests on the ability of arbitrageurs to ensure that substantially similar assets trade at substantially similar prices.

Journal Article

The Role of Financial Economics in Securities Fraud Cases

Modern financial economics is becoming increasingly influential in securities fraud law.

Journal Article

Triggering the 1987 Stock Market Crash

On Wednesday, October 14, 1987, the U.S. stock market began the most extreme one-week decline in its history, culminating in the crash on Monday, October 19, when the Dow Jones Industrial Average fell 508 points (22.6%).

Journal Article

Lessons From Financial Economics

There is disagreement among financial economists about the meaning of efficiency, how to test for it and what the results of these tests mean.