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What is Convertible Arbitrage Hedge Funds about?

This document analyzes the risks and rewards of providing liquidity to the convertible bond market through convertible arbitrage strategies. It models a buy-and-hedge convertible arbitrage strategy using daily data on US and Japanese convertible bonds. The strategy involves taking a long position in convertible bonds while hedging equity, credit, and interest rate risks. The study finds that this strategy explains a large proportion of returns earned by convertible arbitrage hedge funds and demonstrates how

Author

Chris Mason

Language

EN