Risk Arbitrage in the Swedish Market – Evaluation with Contingent Claims
(2011) NEKM01 20111Department of Economics
- Abstract (Swedish)
- The thesis analyses a risk arbitrage portfolio in Swedish equities over 2611 trading days (132 months), to evaluate the ability of a risk arbitrage strategy to generate excess returns, alpha, in the Swedish market. It is found that risk arbitrage generates a significant alpha of 120 basis points per month, in a linear model and assuming CAPM holds. In a contingent claims framework, aiming to correctly price non-linearities observed in previous studies, and assuming Black-Scholes holds, I find that the monthly alpha is 51 basis points per month.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1977405
- author
- Drott, Markus LU
- supervisor
-
- Erik Norrman LU
- organization
- course
- NEKM01 20111
- year
- 2011
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- arbitrage, contingent claims, merger arbitrage, non-linear returns, risk arbitrage
- language
- English
- id
- 1977405
- date added to LUP
- 2011-06-16 14:39:09
- date last changed
- 2011-06-16 14:39:09
@misc{1977405, abstract = {{The thesis analyses a risk arbitrage portfolio in Swedish equities over 2611 trading days (132 months), to evaluate the ability of a risk arbitrage strategy to generate excess returns, alpha, in the Swedish market. It is found that risk arbitrage generates a significant alpha of 120 basis points per month, in a linear model and assuming CAPM holds. In a contingent claims framework, aiming to correctly price non-linearities observed in previous studies, and assuming Black-Scholes holds, I find that the monthly alpha is 51 basis points per month.}}, author = {{Drott, Markus}}, language = {{eng}}, note = {{Student Paper}}, title = {{Risk Arbitrage in the Swedish Market – Evaluation with Contingent Claims}}, year = {{2011}}, }