Agarwal, Vikas; Fung, William; Loon, Yee Cheng; Naik, … - Centre for Financial Research <Köln> - 2011
In this paper, we identify and document the empirical characteristics of the key drivers ofconvertible arbitrage as a strategy and how they impact the performance of convertible arbitragehedge funds. We show that the returns of a buy-and-hedge strategy involving taking a longposition in...