-and-hedge strategy involving taking a long position in convertible bonds (“CBs”) while hedging the equity risk alone explains a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … market. However, the friction involved in adjusting the stock of risk capital managed by a large fund can negatively impact …

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 magnitude. Positive exposure to capital share risk earns a positive risk …

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 magnitude. Positive exposure to capital share risk earns a positive risk …