Risk arbitrage : analysis and trading systems
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2004.
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| Format: | Thesis |
| Language: | en_US |
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Massachusetts Institute of Technology
2005
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| Online Access: | http://hdl.handle.net/1721.1/28738 |
| _version_ | 1826204003690610688 |
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| author | Naheta, Akshay, 1981- |
| author2 | Leonid Kogan and John Tsitsiklis. |
| author_facet | Leonid Kogan and John Tsitsiklis. Naheta, Akshay, 1981- |
| author_sort | Naheta, Akshay, 1981- |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2004. |
| first_indexed | 2024-09-23T12:47:17Z |
| format | Thesis |
| id | mit-1721.1/28738 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T12:47:17Z |
| publishDate | 2005 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/287382019-04-11T13:23:42Z Risk arbitrage : analysis and trading systems Naheta, Akshay, 1981- Leonid Kogan and John Tsitsiklis. Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. Electrical Engineering and Computer Science. Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2004. Includes bibliographical references (leaves 59-60). In this thesis we quantify the risk arbitrage investment process and create trading strategies that generate positive risk-adjusted returns. We use a sample of 895 stock swap mergers, cash mergers, and cash tender offers during 1998-2004Q2. We test the market efficiency hypothesis, and after accounting for transaction costs, we find that our risk arbitrage strategies generate annual risk-adjusted returns in excess of 4.5%. The research also obtains various other merger statistics, and relates them to a variety of economic indicators and merger timing models, as described in past work. We also estimate conditional probabilities of a merger's success, using a deal characteristic-driven prediction model, and combine it with market-implied probabilities. Our analysis suggests that the probability of success of a merger depends on a deal's characteristics. Further, it implies that one can improve on the market-implied estimates thereby creating trading opportunities. The analytical results achieved in this thesis can be used as the foundation for building an effective risk arbitrage trading platform. by Akshay Naheta. S.M. 2005-09-27T18:04:15Z 2005-09-27T18:04:15Z 2004 2004 Thesis http://hdl.handle.net/1721.1/28738 59668924 en_US M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 60 leaves 2258460 bytes 2263896 bytes application/pdf application/pdf application/pdf Massachusetts Institute of Technology |
| spellingShingle | Electrical Engineering and Computer Science. Naheta, Akshay, 1981- Risk arbitrage : analysis and trading systems |
| title | Risk arbitrage : analysis and trading systems |
| title_full | Risk arbitrage : analysis and trading systems |
| title_fullStr | Risk arbitrage : analysis and trading systems |
| title_full_unstemmed | Risk arbitrage : analysis and trading systems |
| title_short | Risk arbitrage : analysis and trading systems |
| title_sort | risk arbitrage analysis and trading systems |
| topic | Electrical Engineering and Computer Science. |
| url | http://hdl.handle.net/1721.1/28738 |
| work_keys_str_mv | AT nahetaakshay1981 riskarbitrageanalysisandtradingsystems |