Graduate School of Business Administration
Morgan Hall 125
Boston, MA 02163
NBER Working Papers and Publications
|June 2010||Arbitrage Crashes and the Speed of Capital |
with Todd Pulvino
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers
|January 2007||Slow Moving Capital|
with Lasse Heje Pedersen, Todd Pulvino: w12877
We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.
Published: Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007.
"Slow Moving Capital,"
American Economic Review,
American Economic Association, vol. 97(2), pages 215-220, May.
citation courtesy of
|January 2000||A Clinical Exploration of Value Creation and Destruction in Acquisitions, Organizational Design, Incentives, and Internal Capital Markets|
with Steven N. Kaplan, Karen Wruck
in Mergers and Productivity, Steven N. Kaplan, editor
|April 1997||A Clinical Exploration of Value Creation and Destruction in Acquisitions: Organizational Design, Incentives, and Internal Capital Markets|
with Steven N. Kaplan, Karen H. Wruck: w5999
This paper presents clinically-based studies of two acquisitions that received very different stock market reactions at announcement one positive and one negative. Despite the differing market reactions, we find that ultimately neither acquisition created value overall. In exploring the reasons for the acquisition outcomes, we rely primarily on interviews with managers and on internally generated performance data. We compare the results of these analyses to those from analyses of post-acquisition operating and stock price performance traditionally applied to large samples. We draw two primary conclusions. (1) Our findings highlight the difficulty of implementing a successful acquisition strategy and of running an effective internal capital market. Post-acquisition difficulties resulted...
Published: Steven N. Kaplan & Mark Mitchell & Karen Wruck, 2000. "A Clinical Exploration of Value Creation and Destruction in Acquisitions, Organizational Design, Incentives, and Internal Capital Markets," NBER Chapters, in: Mergers and Productivity, pages 179-238 National Bureau of Economic Research, Inc.