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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 convertible bonds (“CBs”) while hedging the equity risk alone explains a … extreme market-wide events and the supply of CBs on performance. Out-of-sample tests provide corroborative evidence on our …
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A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
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A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012457922
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012913073