Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - In: Journal of Empirical Finance 18 (2011) 2, pp. 175-194
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...