The 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...

The paper investigates the mean-reverting components in real stock prices for 16 countries. The temporary and permanent components of real stock prices are identified through appropriate restrictions on a vector autoregression of real stock returns and inflation. The multivariate time series...

This article investigates the performance of Spanish pension funds using a range of linear and nonlinear performance models. As the sample presents characteristics of higher-order moments, traditional performance measures are distorted. We generate alternative performance models which include...