Essays about: "Risk arbitrage"

Showing result 1 - 5 of 53 essays containing the words Risk arbitrage.

1. 1. The Relationship Between Beta and Arbitrage Spread in M&A Deals

   University essay from Göteborgs universitet/Graduate School

   Author : Daniel Granat; William Fredriksson; [2023-06-29]
   Keywords : ;

   Abstract : Risk arbitrage is an event-driven investment strategy where the risk arbitrageur aims to capture the arbitrage spread between the target’s stock price and the bid price by the acquiring firm in a merger and acquisition (M&A) deal. Previous research suggests that specific risks connected to the deal as completion or duration risks, as well as firm and bid characteristics, influence the arbitrage spread. READ MORE

3. 2. Unlocking the Potential of Battery Energy Storage Systems in the Nordic Frequency Regulation Markets : A techno-economic analysis to evaluate long-term profitability

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Theodor Ingman; Henrik von Sivers; [2023]
   Keywords : ;

   Abstract : As the Swedish power system has increased its shares of production coming from intermittent renewables, the production coming from large rotational units as nuclear, and hydropower, has decreased. Thereby, the power system has become more sensitive to sudden changes between production and consumption of electricity, increasing the risk of disruptions in the electricity grid. READ MORE

4. 3. Reforms, Risk and Arbitrage: The Impact of G20 Post-Crisis Reform Implementation on Systemic Risk and Arbitrage in Banking and Insurance

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Patricia Vernholmen; [2022]
   Keywords : Financial Regulation; Systemic Risk; Reform Index; Arbitrage; GFC;

   Abstract : This thesis analyzes the effect of the implementation progress of the G20 post-crisis reform on systemic risk and bank foreign claims. First, indices measuring jurisdiction-level implementation progress of the reform and its different areas are constructed, and subsequently, SRISK, a common measure of systemic risk is regressed on these indices and other regulatory variables in a fixed effects regression. READ MORE

5. 4. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Erik Huss; Mario Ishak; [2022]
   Keywords : Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Abstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE

6. 5. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : André Aho; Simon Löw; [2022]
   Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

   Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE