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 … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …

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 … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …

This paper replicates the core underlying merger arbitrage strategy using daily data from the United Kingdom to … generate three simulated merger arbitrage portfolio return series, for the period 2001 through to 2004. Past empirical evidence … indicates that the merger arbitrage strategy generates large risk adjusted returns. More recent evidence indicates that the …

trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications … month windows. We find strong support for no speculative arbitrage at a moment in time, but not across time …

We provide a comprehensive empirical analysis on the implication of CDS-Bond basis arbitrage for the pricing of …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …