Simulating convertible bond arbitrage portfolios

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dc.contributor.authorHutchinson, Mark C.
dc.contributor.authorGallagher, Liam A.
dc.date.accessioned2021-10-14T13:34:27Z
dc.date.available2021-10-14T13:34:27Z
dc.date.issued2008-07-21
dc.date.updated2021-10-13T14:21:40Z
dc.description.abstractThe recent growth in interest in convertible bond arbitrage (CBA) has predominantly come from the hedge fund industry. Past empirical evidence has shown that a CBA strategy generates positive monthly abnormal risk-adjusted returns. However, these studies have focused on hedge fund returns which exhibit instant history bias, selection bias, survivorship bias and smoothing. This article replicates the core underlying CBA strategy to generate an equally weighted and market capitalization daily CBA return series free of these biases, for the period 1990 through 2002. These daily series also capture important short-run price dynamics that previous studies have ignored.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationHutchinson, M. C. and Gallagher, L. A. (2008) 'Simulating convertible bond arbitrage portfolios', Applied Financial Economics, 18(15), pp. 1247-1262. doi: 10.1080/09603100701604217en
dc.identifier.doi10.1080/09603100701604217en
dc.identifier.eissn1466-4305
dc.identifier.endpage1262en
dc.identifier.issn0960-3107
dc.identifier.issued15en
dc.identifier.journaltitleApplied Financial Economicsen
dc.identifier.startpage1247en
dc.identifier.urihttps://hdl.handle.net/10468/12101
dc.identifier.volume18en
dc.language.isoenen
dc.publisherRoutledge - Taylor & Francis Groupen
dc.rights© 2008, Taylor & Francis. All rights reserved. This is an Accepted Manuscript of an item published by Taylor & Francis in Applied Financial Economics on 21 July 2008, available online: https://doi.org/10.1080/09603100701604217en
dc.subjectConvertible bond arbitrage (CBA)en
dc.subjectArbitrageen
dc.subjectConvertible bondsen
dc.subjectHedge fundsen
dc.titleSimulating convertible bond arbitrage portfoliosen
dc.typeArticle (peer-reviewed)en
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