ter Horst, Jenke; Loncarski, I.; Veld, C.H. - Tilburg University, Center for Economic Research - 2006
This paper analyzes convertible bond arbitrage on the Canadian market for the period 1998 to 2004.Convertible bond arbitrage is the combination of a long position in convertible bonds and a short position in the underlying stocks. Convertible arbitrage has been one of the most successful...