Characteristics of Risk and Return in Risk Arbitrage

By Mark L. Mitchell, Todd C. Pulvino. 2001

691 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/576b0e1ff1dd2f97fc3905157191f33955bb6c1c

How researchers see this paper

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In Accounting

1. Vikas Agarwal
2. Narayan Naik
3. Melvyn Teo
4. William Fung
5. David A. Hsieh
6. Turan G. Bali
7. M. O. Caglayan
8. Malcolm P. Baker

In Finance

1. Melvyn Teo
2. Vikas Agarwal
3. Narayan Naik
4. William Fung
5. David A. Hsieh
6. Turan G. Bali
7. Stephen J. Brown
8. M. O. Caglayan

In Strategy and Management

1. Melvyn Teo
2. William Fung
3. David A. Hsieh
4. M. Humphery‐Jenner
5. R. Powell
6. Ronnie Sadka
7. Malcolm P. Baker
8. Robert A. Korajczyk

Citations in the corpus

• The Liquidity Risk of Liquid Hedge Funds (2011, methodology): “7 In a robustness test, to allow for hedge fund exposure to equity option–based strategies (Mitchell and Pulvino, 2001), I also augment the model with two out–of–the–money Standard and Poor’s 500 option–based factors from the Agarwal and Naik (2004) model.”
• Asset-Based Style Factors for Hedge Funds (2002, background): “Another example of an asset-based style factor for hedge funds can be found in the work of Mitchell and Pulvino (2001).”
• An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “First, it has been shown that hedge funds feature option-like risk-return characteristics (Fung and Hsieh (1997), Mitchell and Pulvino (2001) and Agarwal and Naik (2004)).”
• Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, neutral): “Mitchell and Pulvino (2001) show that merger arbitrage, a common hedge fund strategy, generates returns that resemble a short put-short call payoff.”
• Portfolio Performance Manipulation and Manipulation-Proof Performance Measures (2007, neutral): “For the seven measures examined here — four ratios (Sharpe (1966), Sortino (1991), Leland (1999), and Van der Meer, Plantinga, and Forsey (1999)), and three regression intercepts (the CAPM alpha, Treynor and Mazuy (1966), and Henriksson and Merton (1981)) — the answer is not encouraging.”
• Correlation Risk and Optimal Portfolio Choice (2010, background): “As in multivariate GARCH set- 5Papers documenting hedge fund performance include Brown, Goetzmann, and Ibbotson (1999), Fung and Hsieh (2001), Mitchell and Pulvino (2001), Agarwal and Naik (2004), Getmansky, Lo, and Makarov (2004), Busse and Irvine (2005), Kosowksi, Naik, and Teo (2006).”
• Hedge funds: an industry in its adolescence (2006, background): “Mitchell and Pulvino (2001) tracked the returns of merger arbitrage funds to a passive merger arbitrage strategy.”
• Hedge Fund Benchmarks: A Risk-Based Approach (2004, background): “Mitchell and Pulvino (2001) created an asset-based style factor for merger arbitrage funds.”
• Firm Size, Takeover Profitability, and the Effectiveness of the Market for Corporate Control: Does the Absence of Anti-Takeover Provisions Make a Difference? (2011, positive): “Maheswaran and Yeoh (2005) do, however, report similar results to Mitchell and Pulvino (2001) on the profitability of merger arbitrage using an Australian sample.”