Risk Arbitrage

Notes

Chapter 1

1 Morgan D. Evans, Arbitrage in Domestic Securities in the United States (W. Nyack, 1967).

2 Ibid., p. 14.

3 Ibid. p. 71.

4 “More Brokerage Firms Try the Frenetic, Risky Business of Arbitrage,” The Wall Street Journal, April 7, 1967, p. 1.

5 “Huge Profits Out of Tiny Margins,” Business Week, March 28, 1966 p. 114.

 

Chapter 2

1 “Huge Profits Out of Tiny Margins,” Business Week, p. 120.

2 IRS Code, SEC 368 a (1) A-F.

3 Reference to technical charts, and knowledge of the probable size of the Arbitrage Community’s position, are helpful indications in determining the downside risk.

4 A clue to the magnitude of this potential danger may be found in the monthly “short interest” figures published by both the New York and the American Stock exchanges.

5 The purported reason for the termination of the merger agreement between White Cross Stores and Zale Corporation.

6 Kenneth Lewis Edlow, “The Role of the Arbitrageur in the Investment Field” (Unpublished thesis of the Institute of Investment Banking, 1968), p. 14.

7 New York Stock Exchange, op. cit.

8 Op. cit., Rule #325(b).

9 “Post-Merger Selling Pressure.” The Value Line Merger Evaluation Service, May 5, 1969, p. 1.

10 Richard H. Baer and Alan B. Slifka, “Does Arbitrage Create Institutional Opportunities?” The Institutional Investor, April 1967, p. 40.

 

 

Chapter 3

1 New York Stock Exchange Constitution & Rules, Rule #325(b).

2 Per $10 market value of security, the $3 would be the “haircut” under the 30 percent rule. The remaining $7 ...