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Publications

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    • Faculty Publications  (53)

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    • All HBS Web  (137)
      • Faculty Publications  (53)

      ArbitrageRemove Arbitrage →

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      • 2001
      • Working Paper

      Limited Arbitrage in Equity Markets

      By: Mark Mitchell, Todd Pulvino and Erik Stafford
      Citation
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      Mitchell, Mark, Todd Pulvino, and Erik Stafford. "Limited Arbitrage in Equity Markets." Harvard Business School Working Paper, No. 01-069, April 2001.
      • October 1998 (Revised November 1999)
      • Case

      Farallon Capital Management: Risk Arbitrage (A)

      By: Andre F. Perold and Robert Howard
      Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be... View Details
      Keywords: Mergers and Acquisitions; Capital; Capital Markets; Investment; Management; Risk Management; Strategy; Financial Services Industry
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      Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (A)." Harvard Business School Case 299-020, October 1998. (Revised November 1999.)
      • October 1998
      • Case

      Farallon Capital Management: Risk Arbitrage (B)

      By: Andre F. Perold and Robert Howard
      Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be... View Details
      Keywords: Mergers and Acquisitions; Capital Markets; Investment; Risk Management; Strategy; Financial Services Industry
      Citation
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      Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (B)." Harvard Business School Case 299-021, October 1998.
      • October 1998
      • Case

      Farallon Capital Management: Risk Arbitrage (C)

      By: Andre F. Perold and Robert Howard
      Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be... View Details
      Keywords: Capital Markets; Equity; Mergers and Acquisitions; Financial Institutions; Risk Management; Investment Funds; Financial Services Industry
      Citation
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      Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (C)." Harvard Business School Case 299-022, October 1998.
      • March 1996 (Revised April 2006)
      • Case

      Global Equity Markets: The Case of Royal Dutch and Shell

      By: Kenneth A. Froot and Andre F. Perold
      Royal Dutch and Shell common stocks are securities with linked cash flow, so that the ratio of their stock prices should be fixed. In fact, the ratio is highly variable, moving with the markets where the securities are intensively traded. Royal Dutch trades more... View Details
      Keywords: International Equity Markets; International Cost Of Capital; Cross-border Valuation; International Finance; Equity; Cost of Capital; Valuation; Cash Flow
      Citation
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      Froot, Kenneth A., and Andre F. Perold. "Global Equity Markets: The Case of Royal Dutch and Shell." Harvard Business School Case 296-077, March 1996. (Revised April 2006.)
      • July 1994 (Revised October 1995)
      • Case

      Coca-Cola Harmless Warrants

      By: Scott P. Mason and Mihir A. Desai
      Underscores the arbitrage implicit in the pricing of a complex unit of debt and warrants issued by the Coca-Cola Co. View Details
      Keywords: Bonds; Price; Innovation and Invention; Food and Beverage Industry
      Citation
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      Mason, Scott P., and Mihir A. Desai. "Coca-Cola Harmless Warrants." Harvard Business School Case 295-007, July 1994. (Revised October 1995.)
      • June 1992 (Revised June 1995)
      • Case

      RJR Nabisco Holdings Capital Corp.--1991

      By: Peter Tufano
      An investment manager notices a large apparent discrepancy in the prices of two nearly-identical bonds issued in conjunction with a major leveraged buyout. The manager must figure out whether the instruments are mispriced relative to one another, and if so, how to... View Details
      Keywords: Asset Management; Financial Instruments
      Citation
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      Tufano, Peter. "RJR Nabisco Holdings Capital Corp.--1991." Harvard Business School Case 292-129, June 1992. (Revised June 1995.)
      • 01 Dec 1986
      • Conference Presentation

      Contracts Markets, Cash Markets, and Arbitrage

      By: André Perold and James F. Gammill Jr.
      Keywords: Financial Markets
      Citation
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      Perold, André, and James F. Gammill Jr. "Contracts Markets, Cash Markets, and Arbitrage." Paper presented at the American Finance Association Annual Meeting, December 01, 1986.
      • September 1986 (Revised July 2001)
      • Case

      Eastern Electric Apparatus Repair Company (A)

      By: Carliss Y. Baldwin and Harry Gruner
      As principals engaged in structuring leveraged buyouts for a well-capitalized risk arbitrage firm, Bob Meehan and George Schwartz are preparing to bid for the business and assets of a Westinghouse subsidiary. The case focuses on the value of the opportunity, methods of... View Details
      Keywords: Leveraged Buyouts; Bids and Bidding; Opportunities; Business Subsidiaries; Strategy; Valuation; Equity; Electronics Industry
      Citation
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      Baldwin, Carliss Y., and Harry Gruner. "Eastern Electric Apparatus Repair Company (A)." Harvard Business School Case 287-023, September 1986. (Revised July 2001.)
      • 1968
      • Mimeo

      Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions

      By: Robert C. Merton
      Keywords: Stock Options; Valuation; Trade
      Citation
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      Merton, Robert C. "Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions." Massachusetts Institute of Technology (MIT), August 1968. Mimeo.
      • Forthcoming
      • Article

      Arbitrage Capital of Global Banks

      By: Alyssa G. Anerson, Wenxin Du and Bernd Schlusche
      We show that the role of unsecured, short-term wholesale funding for global banks has changed significantly in the post-financial-crisis regulatory environment. Global banks mainly use such funding to finance liquid, near risk-free arbitrage positions—in particular,... View Details
      Keywords: Governing Rules, Regulations, and Reforms; Banks and Banking; Interest Rates; Financing and Loans
      Citation
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      Anerson, Alyssa G., Wenxin Du, and Bernd Schlusche. "Arbitrage Capital of Global Banks." Journal of Finance (forthcoming).
      • Forthcoming
      • Article

      Passive Ownership and Price Informativeness

      By: Marco Sammon
      I show that passive ownership negatively affects the degree to which stock prices anticipate earnings announcements. Estimates across several research designs imply that the rise in passive ownership over the last 30 years has caused the amount of information... View Details
      Keywords: Passive Ownership; ETFs; Market Efficiency; Price; Investment Funds; Stocks; Communication
      Citation
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      Sammon, Marco. "Passive Ownership and Price Informativeness." Management Science (forthcoming). (Pre-published online September 17, 2024.)
      • Forthcoming
      • Article

      Segmented Arbitrage

      By: Emil Siriwardane, Adi Sunderam and Jonathan Wallen
      We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are... View Details
      Keywords: Financial Intermediation; Arbitrage; Intermediary-based Asset Pricing; Finance; Segmentation
      Citation
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      Siriwardane, Emil, Adi Sunderam, and Jonathan Wallen. "Segmented Arbitrage." Journal of Finance (forthcoming).
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