Substantial losses suffered by several multi-billion dollar fixed income hedge funds have brought attention to risks involved in what was advertised as a leveraged municipal bond arbitrage strategy. The purported arbitrage strategy involved trades of municipal bonds, short-term notes, and...

The academic and practitioner literature now includes numerous studies of the substantial issue date mispricing of structured products but there is no large scale study of the ex-post returns earned by US structured product investors. This paper augments the current literature by analyzing the...