Add to ORKGThe paper examines the impact of convertible bond issuance and arbitrage activity on Canadian equity market liquidity. We use convertible bond issuance event dates for the period of November 2001 to April 2010 to analyze the change in short interest, a proxy for convertible arbitrage activity, and stock liquidity during a one-year event window. Liquidity measures include Amihud, turnover, dollar volume and spread to price ratio. We find that there are significant increases in short interest, but minimal improvements in liquidity following the convertible bond issuances. However, statistical tests support that the change in liquidity is positively related to the change in short interest
Abstract: We examine the extent to which excess returns from convertible arbitrage represent positiv...
This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim...
International audienceSimilar to previously documented evidence for equity offerings, this paper sho...
This series of paper studies convertible bond financing from the perspective of both issuers and inv...
This dissertation examines two topics, the use of convertible bonds by Canadian companies and the se...
This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock...
This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock...
In recent years companies issuing convertible bonds enter into some transactions simul- taneously i...
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidit...
This paper analyzes the risk and rewards of providing liquidity to the convertible bond market. Usin...
The recent growth in interest in convertible bond arbitrage (CBA) has predominantly come from the he...
We study Over-The-Counter (OTC) market frictions in the convertible bond arbitrage strategy. using n...
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in c...
DISS_abstract\u3e Over the last two decades convertible debt issues have been steadily increasing in...
This paper presents a new framework for valuing hybrid defaultable financial instruments, for exampl...
Abstract: We examine the extent to which excess returns from convertible arbitrage represent positiv...
This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim...
International audienceSimilar to previously documented evidence for equity offerings, this paper sho...
This series of paper studies convertible bond financing from the perspective of both issuers and inv...
This dissertation examines two topics, the use of convertible bonds by Canadian companies and the se...
This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock...
This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock...
In recent years companies issuing convertible bonds enter into some transactions simul- taneously i...
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidit...
This paper analyzes the risk and rewards of providing liquidity to the convertible bond market. Usin...
The recent growth in interest in convertible bond arbitrage (CBA) has predominantly come from the he...
We study Over-The-Counter (OTC) market frictions in the convertible bond arbitrage strategy. using n...
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in c...
DISS_abstract\u3e Over the last two decades convertible debt issues have been steadily increasing in...
This paper presents a new framework for valuing hybrid defaultable financial instruments, for exampl...
Abstract: We examine the extent to which excess returns from convertible arbitrage represent positiv...
This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim...
International audienceSimilar to previously documented evidence for equity offerings, this paper sho...