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Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market
Agarwal, Vikas; Fung, William; Loon, Yee Cheng; Naik, … - Centre for Financial Research <Köln> - 2011
In this paper, we identify and document the empirical characteristics of the key drivers ofconvertible arbitrage as a strategy and how they impact the performance of convertible arbitragehedge funds. We show that the returns of a buy-and-hedge strategy involving taking a longposition in...
Persistent link: https://www.econbiz.de/10009284854
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Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)
Heidorn, Thomas; Gerhold, Mirko - Frankfurt School of Finance & Management - 2004
Convertible bond issues increase considerably since 1990. The papershows that these issues are more than just the combination of a bond and an option.The pricing depends on the share price, the shares volatility, the interest rate,and the interest volatility , the credit spread, and the...
Persistent link: https://www.econbiz.de/10005865815
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On the Relative Performance of Multi-Strategy and Funds of Hedge Funds
Agarwal, Vikas; Kale, Jayant R. - 2007
Recently, there has been explosive growth in two products from the hedge fund industry ⎯ multi-strategy(MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedgefund strategies. In well-functioning markets, both investment vehicles should offer...
Persistent link: https://www.econbiz.de/10005855891
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On the Relative Performance of Multi-Strategy and Funds of Hedge Funds
Agarwal, Vigas; Kale, Jayant R. - 2007
Hedgefonds verzeichnen seit Jahren substantielle Mittelzuflüsse. Zwei Produkte derHedgefondsindustrie werden dabei … besonders stark nachgefragt: Dachhedgefonds und Multi-Strategy (Hedge-)Fonds. Multi-Strategy Fonds können in unterschiedliche …. Dachhedgefonds investieren das Geld der Anleger dagegenausschließlich in Anteile verschiedener Hedgefonds, die sich jeweils einer …
Persistent link: https://www.econbiz.de/10005855914
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Why is Santa so kind to hedge funds? - The December return puzzle!
Agarwal, Vikas; Naik, Narayan Y.; Daniel, Naveen D. - 2007
Dieses Papier beschäftigt sich mit der Performance US-amerikanischer Hedgefonds. DieAutoren widmen sich dabei … insbesondere dem Phänomen, dass die durchschnittliche Renditevon Hedgefonds im Dezember signifikant höher ausfällt als die … Performanceabhängt, tatsächlich eine vergleichsweise hohe durchschnittliche Dezemberrendite auf. Dasgleiche gilt für Hedgefonds, bei …
Persistent link: https://www.econbiz.de/10005855916
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Are Convertible Bonds Underpriced? An Analysis of the French Market
Ammann, Manuel; Kind, Axel; Wilde, Christian - 2001
We investigate the pricing of convertible bonds on the French convertible bond market using dailymarket prices for a period of 18 months. Instead of a firm-value model as used in previous studies, weuse a stock-based binomial-tree model with exogenous credit risk that accounts for all...
Persistent link: https://www.econbiz.de/10005866702
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Warum begeben Unternehmen Wandelanleihen?
Drobetz, Wolfgang; Grüninger, Matthias C.; WÖHLE, … - Universität <Hamburg> / Department …; … - 2006
Der vorliegende Beitrag stellt die Ergebnisse einer Fragebogenuntersuchung unter deutschen,schweizerischen und österreichischen börsenkotierten Unternehmen über deren Motive zurEmission von Wandelanleihen vor. Die Antworten der Unternehmen bestätigen die Backdoor-Equity-Hypothese, wonach...
Persistent link: https://www.econbiz.de/10005867932
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National Economic Accounts
United States / Bureau of Economic Analysis
BEA’s national economic statistics provide a comprehensive view of U.S. production, consumption, investment, exports and imports, and income and saving. These statistics are best known by summary measures such as gross domestic product (GDP), corporate profits, personal income and spending,...
Persistent link: https://www.econbiz.de/10005842817
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Survey of Professional Forecasters
Federal Reserve Bank <Philadelphia, Pa.>
The Survey of Professional Forecasters is the oldest quarterly survey of macroeconomic forecasts in the United States. The survey began in 1968 and was conducted by the American Statistical Association and the National Bureau of Economic Research. The Federal Reserve Bank of Philadelphia took...
Persistent link: https://www.econbiz.de/10005842838
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Best Performing Cities
DeVol, Ross; Wallace, Lorna - 2004
This research report from the Milken Institute ranks U.S. metropolitan areas that are recording the top economic performance and creating the most jobs in the nation. The index is an outcomes-based measure as opposed to one that incorporates explicit measures of business costs, cost-of-living...
Persistent link: https://www.econbiz.de/10005842851