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Risk arbitrage in the Nordics

Jensen, Joachim
Master thesis
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URI
http://hdl.handle.net/11250/2560967
Date
2018
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  • Master Thesis [4207]
Abstract
This paper examines the existence of risk arbitrage in the Nordic market. The study includes

182 public cash offers from 2007 to 2016, and three differently weighted risk arbitrage

portfolios consisting of Norwegian, Swedish, Danish and Finnish transactions. The risk

arbitrage investment strategy is benchmarked with the CAPM, Fama-French Three-factor with

and without a liquidity factor. When benchmarked on the European market returns, the valueweighted

risk arbitrage portfolio generates annual excess returns of 6%, the equal-weighted

generates 12% and the practitioner arbitrage portfolio 4%. However, when benchmarked on

the Nordic market index, the portfolios do not generate excess returns. Contrary to most of the

previous research on risk arbitrage, these results lead to the conclusion that there are no excess

returns in Nordic risk arbitrage.

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