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Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market

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...

Persistent link: https://www.econbiz.de/10009284854

On the Relative Performance of Multi-Strategy and Funds of Hedge Funds

Agarwal, Vikas; Kale, Jayant R. - 2007

Recently, there has been explosive growth in two products from the hedge fund industry ⎯ multi-strategy(MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedgefund strategies. In well-functioning markets, both investment vehicles should offer...

Persistent link: https://www.econbiz.de/10005855891

On the Relative Performance of Multi-Strategy and Funds of Hedge Funds

Agarwal, Vigas; Kale, Jayant R. - 2007

Hedgefonds verzeichnen seit Jahren substantielle Mittelzuflüsse. Zwei Produkte derHedgefondsindustrie werden dabei … besonders stark nachgefragt: Dachhedgefonds und Multi-Strategy (Hedge-)Fonds. Multi-Strategy Fonds können in unterschiedliche …. Dachhedgefonds investieren das Geld der Anleger dagegenausschließlich in Anteile verschiedener Hedgefonds, die sich jeweils einer …

Persistent link: https://www.econbiz.de/10005855914

Why is Santa so kind to hedge funds? - The December return puzzle!

Agarwal, Vikas; Naik, Narayan Y.; Daniel, Naveen D. - 2007

Dieses Papier beschäftigt sich mit der Performance US-amerikanischer Hedgefonds. DieAutoren widmen sich dabei … insbesondere dem Phänomen, dass die durchschnittliche Renditevon Hedgefonds im Dezember signifikant höher ausfällt als die … Performanceabhängt, tatsächlich eine vergleichsweise hohe durchschnittliche Dezemberrendite auf. Dasgleiche gilt für Hedgefonds, bei …

Persistent link: https://www.econbiz.de/10005855916

Are Convertible Bonds Underpriced? An Analysis of the French Market

Ammann, Manuel; Kind, Axel; Wilde, Christian - 2001

We investigate the pricing of convertible bonds on the French convertible bond market using dailymarket prices for a period of 18 months. Instead of a firm-value model as used in previous studies, weuse a stock-based binomial-tree model with exogenous credit risk that accounts for all...

Persistent link: https://www.econbiz.de/10005866702

National Economic Accounts

United States / Bureau of Economic Analysis

BEA’s national economic statistics provide a comprehensive view of U.S. production, consumption, investment, exports and imports, and income and saving. These statistics are best known by summary measures such as gross domestic product (GDP), corporate profits, personal income and spending,...

Persistent link: https://www.econbiz.de/10005842817

Survey of Professional Forecasters

Federal Reserve Bank <Philadelphia, Pa.>

The Survey of Professional Forecasters is the oldest quarterly survey of macroeconomic forecasts in the United States. The survey began in 1968 and was conducted by the American Statistical Association and the National Bureau of Economic Research. The Federal Reserve Bank of Philadelphia took...

Persistent link: https://www.econbiz.de/10005842838

Best Performing Cities

DeVol, Ross; Wallace, Lorna - 2004

This research report from the Milken Institute ranks U.S. metropolitan areas that are recording the top economic performance and creating the most jobs in the nation. The index is an outcomes-based measure as opposed to one that incorporates explicit measures of business costs, cost-of-living...

Persistent link: https://www.econbiz.de/10005842851

Advertising Age - Data center

Ad Age Group <New York, NY>

The Ad Age DataCenter provides exclusive advertising and marketing industry data compiled by the Ad Age Research Department. This constantly updated collection includes more than 600 separate charts arranged in four major categories: Marketers/ Advertisers, Media, Agencies, and Salary Surveys.

Persistent link: https://www.econbiz.de/10005843078

Thompson Reuters / University of Michigan - Surveys of Consumers

Survey Research Center <Ann Arbor, Mich.>

The Surveys of Consumers has been conducted by the Survey Research Center at the University of Michigan since 1946. Each month, 500 individuals are randomly selected from the contiguous United States (48 states plus the District of Columbia) to participate in the Surveys of Consumers. The...

Persistent link: https://www.econbiz.de/10005843081