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...

This paper is a first study to formally analyze the biases related to self-reporting in the hedgefunds databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fundcompanies to the union of five major commercial databases of self-reporting hedge funds between...