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The Limits of Convertible Bond Arbitrage: Evidence from the Recent Crash
| Content Provider | Semantic Scholar |
|---|---|
| Author | Clifford, S. Asness Adam, Berger Christopher, Palazzolo |
| Copyright Year | 2010 |
| Abstract | Like many investment strategies, convertible bond arbitrage suffered abysmal results in late 2008 following the collapse of Lehman Brothers. Because this strategy is closer to the theoretical concept of arbitrage than many others are, an examination of how convertible bond arbitrage fared during this volatile period offers a case study of how these strategies can break down in times of crisis and the opportunities they offer in the aftermath. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.cfainstitute.org/-/media/documents/book/rf-publication/2009/rf-v2009-n5-301.ashx |
| Alternate Webpage(s) | https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/The-Limits-of-Convertible-Bond-Arbitrage.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |