Limited Arbitrage in Mergers and Acquisitions

By Malcolm P. Baker, Serkan Savasoglu. 2002

243 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/083c36a47f6869f6e2738a318b4bfbd48fe3838e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Vikas Agarwal
2. Narayan Naik
3. Jeffrey Pontiff
4. R. D. McLean
5. Heiko Jacobs
6. Campbell R. Harvey
7. Kenneth R. Ahern
8. D. Sosyura

In Finance

1. Narayan Naik
2. Vikas Agarwal
3. Jeffrey Pontiff
4. Melvyn Teo
5. Martin Eling
6. Andrew J. Patton
7. Nicolas P. B. Bollen
8. R. D. McLean

In Strategy and Management

1. Jeffrey Pontiff
2. Narayan Naik
3. Vikas Agarwal

Citations in the corpus

• Does Arbitrage Flatten Demand Curves for Stocks (2000, unknown): “The results of Baker and Savasoglu (2002) generally support these predictions.”
• Shareholder Investment Horizons and the Market for Corporate Control (2005, unknown): “We follow Baker and Savasoglu (2002) and classify an investor to be an arbitrageur if his holdings go from zero to positive in a target firm (in the quarter immediately following an acquisition announcement) for more than two-hundred events during the sample period.”
• Individual Investors and Volatility (2011, unknown): “Several empirical papers show that idiosyncratic risk is indeed a limit to arbitrage (e.g., Scruggs (2007), Baker and Savasoglu (2002), Pontiff (2006)).”
• Does Arbitrage Flatten Demand Curves for Stocks (2002, unknown): “The results of Baker and Savasoglu (2002) generally support these predictions.”
• Convergence trading with wealth effects: an amplification mechanism in financial markets (2001, background): “Mitchell and Pulvino (1999) and Baker and Savasoglu (2000) study the expected risk premium in merger arbitrage trades. They find that returns in merger arbitrage increase with ex ante completion risk and target size, and decrease with the general supply of arbitrage capital. Shleifer (1986) and Wurg”
• Costly arbitrage and the myth of idiosyncratic risk (2006, background): “Baker and Savasogul (2002) estimate abnormal returns from merger arbitrage, in which an investor takes a long position in a target and takes a short position in the acquirer.”
• Supply and Demand Shifts in the Shorting Market (2007, unknown): “If short-selling capital is limited, then the effect of DOUT should be concentrated in the larger stocks in our sample, since these require more arbitrage capital (Baker and Savasoglu (2002)).”