'Market Neutral' Strategy between Telecom Arg and Nortel Inversora
3 Pages Posted: 20 Sep 2007
Date Written: December 2005
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: Suggested Citation