By buying convertibles and shorting the underlying stock, hedge funds distribute equity
exposure to well-diversified shareholders. We find that firms with characteristics that make …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

We find that the average holding period of newly issued convertible bonds by convertible
arbitrage hedge funds is approximately 11.6 months, which on average represents only 14 …

This article presents a new framework for valuing hybrid defaultable financial instruments,
for example, convertible bonds. In contrast to previous studies, the model relies on the …

The asset management industry has changed in multiple ways over the last decade. Fee
pressures and indexation has led mutual funds to introduce new types of investment …

Hedge fund clones provide a liquid, efficient, and transparent alternative to investing in
hedge funds. As a group, however, their recent performance has been disappointing …

Have investors and hedge fund managers learned anything from their recent mistakes? One
can doubt it. While each financial crisis has its unique features, common traits and warning …

Market microstructure research has recently devoted attention to a phenomenon called
commonality in liquidity. In this dissertation, I will analyze commonality in liquidity using a …

Convertible arbitrage hedge funds combine long positions in convertible securities with
short positions in the underlying stock. In effect, hedge funds use their knowledge of the …

This thesis examines the risk-adjusted performances of several arbitrage and hedging
strategies involving convertible bonds. Convertible arbitrage (CA) exploits the pricing …