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Everything about Convertible arbitrage
Investment strategy
Convertible arbitrage is a market-neutral investment strategy often employed by hedge funds. It involves the simultaneous purchase of convertible securities and the short sale of the same issuer's common stock. Wikipedia →
🧭 Start here: a 6-step reading path
- Read the overview: Convertible arbitrageA 5-minute orientation
- Skim a recent paper: Convertible Debt Arbitrage Crashes RevisitedInfluential work since 2022
- Pick up a classic book: Convertible ArbitrageThe most-reprinted book on the subject
- Read the landmark paper: Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanationCited 76 times
- Go sideways: Convertible bondA closely related topic
- Go sideways: Fixed income arbitrageA closely related topic
📖 Definitions
No dictionary entry for this exact phrase.
🗂️ The subject at a glance
🏆 Landmark papers (most cited)
Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation
Risk and return in convertible arbitrage: Evidence from the convertible bond market
Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation
The Rise and Demise of the Convertible Arbitrage Strategy
Arbitrage pricing of defaultable game options with applications to convertible bonds
Convertible bond arbitrage, liquidity externalities, and stock prices☆
Convertible Arbitrage Price Pressure and Short-Sale Constraints
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies
🆕 Influential since 2022
📚 Books worth reading
Convertible ArbitrageNick P. Calamos · 2003
Absolute returnsAlexander M. Ineichen, Alexander Ineichen · 2002- 📕Efficiently inefficientLasse Heje Pedersen · 2015
Market neutral strategiesBruce I. Jacobs · 2005
Investing in hedge fundsJoseph G. Nicholas · 1999
Corporate financeStephen A. Ross · 1995
Short Selling Activities and Convertible Bond ArbitrageSebastian P. Werner · 2010
Convertible arbitrage : insights and techniques for successful hedging
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
🔗 Related topics
- Convertible bond In finance, a convertible bond, convertible note, or convertible (or a convertible debenture if it has a maturity of greater than 10 years) is a type of…
- Fixed income arbitrage Fixed-income arbitrage is a group of market-neutral-investment strategies that are designed to take advantage of differences in interest rates between…
- Rational pricing In financial economics, rational pricing is the assumption that asset pricing models must reflect the arbitrage-free price of the asset This argument underpins…
- Market neutral An investment strategy or portfolio is considered market-neutral if it seeks to avoid some form of market risk entirely, typically by hedging. To evaluate…
- Arbitrage Arbitrage (/ˈɑːrbɪtrɑːʒ/ , UK also /-trɪdʒ/) is the practice of taking advantage of a difference in prices in two or more markets – striking a combination…
- Convertible security A convertible security is a financial instrument whose holder has the right to convert it into another security of the same issuer. Most convertible securities…
- Hedge (finance) A hedge is an investment position intended to offset potential losses or gains that may be incurred by a companion investment. A hedge can be constructed…
- Equity derivative In finance, an equity derivative is a class of derivatives whose value is at least partly derived from one or more underlying equity securities. Options…