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Persistent link: https://www.econbiz.de/10010243512
This paper analyzes convertible bond arbitrage on the Canadian market for the period 1998 to 2004.Convertible bond arbitrage is the combination of a long position in convertible bonds and a short position in the underlying stocks. Convertible arbitrage has been one of the most successful...
Persistent link: https://www.econbiz.de/10011090992
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10010303833
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10010308675
Persistent link: https://www.econbiz.de/10009301134
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10010957170
We document that, in recent years, over 60% of convertible bond issuers conduct concurrent transactions including share repurchases, call option purchases, warrant sales, seasoned equity offerings, and stock lending program initiations. We investigate the determinants of issuers' choice of...
Persistent link: https://www.econbiz.de/10010738174
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10008788757
Persistent link: https://www.econbiz.de/10012239233
arbitrage is mainly due to convertible underpricing. Empirically, however, we do not find evidence supporting the underpricing …
Persistent link: https://www.econbiz.de/10011207829