'Market Neutral' Strategy between Telecom Arg and Nortel Inversora

3 Pages Posted: 20 Sep 2007

See all articles by Juan Ledesma Padilla

Juan Ledesma Padilla

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Date Written: December 2005

Abstract

Asset valuations can be made in absolute or relative terms. Relative valuation means that two close substitute assets, whose cash flows and risks are determined by the same business factors, must worth the same. But it is not established or specified at what price level. The Law of One Price (LOP) and the concept of Cointegration are applicable when relative asset valuation is analyzed.

Keywords: Market neutral, Cointegration, Pair Trading, Emerging Markets, Asset Valuation, Hedge Fund

JEL Classification: C12, C32, C52, G12, G14, L11

Suggested Citation

Ledesma Padilla, Juan Marcos, 'Market Neutral' Strategy between Telecom Arg and Nortel Inversora (December 2005). Available at SSRN: https://ssrn.com/abstract=1015599 or http://dx.doi.org/10.2139/ssrn.1015599

Juan Marcos Ledesma Padilla (Contact Author)

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015
Switzerland

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