Nothing Special   »   [go: up one dir, main page]

create a website
Risk and return in convertible arbitrage: Evidence from the convertible bond market. (2004). Naik, Narayan Y. ; Loon, Yee Cheng ; Fung, William H. ; Agarwal, Vikas.
In: CFR Working Papers.
RePEc:zbw:cfrwps:0403.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 41

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Agarwal, V., Daniel, N.D., Naik, N.Y., 2009. Role of managerial incentives and discretion in hedge fund performance. J. Financ. 64, 2221â2256.

  2. Agarwal, V., Naik, N.Y., 2004. Risks and portfolio decisions involving hedge funds. Rev. Finan. Stud. 17, 63â98.

  3. AlmazÃn, A., Brown, K.C., Carlson, M., Chapman, D.A., 2004. Why constrain your mutual fund manager? J. Financ. Econ. 73, 289â321.

  4. Brennan, M.J., Kraus, A., 1987. Efficient financing under asymmetric information. J. Financ. 42, 1225â1243.

  5. Brennan, M.J., Schwartz, E.S., 1977. Convertible bonds: Valuation and optimal strategies for call and conversion. J. Financ. 32, 1699â1715.

  6. Brennan, M.J., Schwartz, E.S., 1980. Analyzing convertible bonds. J. Financ. Quant. Anal. 15, 907â929.

  7. Brennan, M.J., Schwartz, E.S., 1988. The case for convertibles. J. Appl. Corp. Financ. 1, 55â64.
    Paper not yet in RePEc: Add citation now
  8. Brown, R.L., Durbin, J., Evans, J.M., 1975. Techniques for testing the constancy of regression relationships over time. J. Royal Stat. Soc. Series B (Methodological) 37, 149â192.
    Paper not yet in RePEc: Add citation now
  9. Brown, S.J., Grundy, B.D., Lewis, C.M., Verwijmeren, P., 2010. Convertibles and hedge funds as distributors of equity exposure. Working Paper. New York University.
    Paper not yet in RePEc: Add citation now
  10. Buchan, J., 1997. Convertible bond pricing: theory and evidence. Unpublished Dissertation. Harvard University.
    Paper not yet in RePEc: Add citation now
  11. Carhart, M., 1997. On persistence in mutual fund performance. J. Financ. 52, 57â82.

  12. Chacko, G., Mahanti, S., Malik, G., Subrahmanyam, M.G., 2005. The determinants of liquidity in the corporate bond markets: An application of latent liquidity. Working Paper. New York University.
    Paper not yet in RePEc: Add citation now
  13. Chan, A.W.H., Chen, N., 2007. Convertible bond underpricing: Renegotiable covenants, seasoning, and convergence. Manag. Sci. 53, 1793â1814.

  14. Choi, D., Getmansky, M., Henderson, B., Tookes, H., 2010. Convertible bond arbitrageurs as suppliers of capital, Rev. Finan. Stud. 23, 2492-2522.

  15. Choi, D., Getmansky, M., Tookes, H., 2009. Convertible bond arbitrage, liquidity externalities, and stock prices. J. Financ. Econ. 91, 227â251.

  16. Constantinides, G.M., Grundy, B.D., 1989. Optimal investment with stock repurchase and financing as signals. Rev. Finan. Stud. 2, 445â465.
    Paper not yet in RePEc: Add citation now
  17. Das, S.R., Sundaram, R.K., 2004. A simple model for pricing securities with equity, interest rate and default risk. Working Paper. New York University.
    Paper not yet in RePEc: Add citation now
  18. Davis, M., Lischka, F.R., 1999. Convertible bonds with market risk and credit risk. Working Paper. Tokyo-Mitsubishi International PLC.
    Paper not yet in RePEc: Add citation now
  19. Duarte, J., Longstaff, F.A., Yu, F., 2007. Risk and return in fixed income arbitrage: Nickels in front of a steamroller. Rev. Finan. Stud. 20, 769â811.

  20. Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. J. Financ. Econ. 33, 3â56.

  21. Fung, W., Hsieh, D.A., 1997. Empirical characteristics of dynamic trading strategies: The case of hedge funds. Rev. Finan. Stud. 10, 275â302.

  22. Fung, W., Hsieh, D.A., 2001. The risk in hedge fund strategies: Theory and evidence from trend followers. Rev. Finan. Stud. 14, 313â341.

  23. Fung, W., Hsieh, D.A., 2004. Hedge fund benchmarks: A risk based approach. Financ. Anal. J. 60, 65â80.
    Paper not yet in RePEc: Add citation now
  24. Fung, W., Hsieh, D.A., Naik, N.Y., Ramadorai, T., 2008. Hedge funds: Performance, risk, and capital formation. J. Financ. 63, 1777â1803.

  25. Gatev, E.G., Goetzmann, W.N., Rouwenhorst, K.G., 2006. Pairs trading: Performance of a relative-value arbitrage rule. Rev. Finan. Stud. 19, 797â827.

  26. Goetzmann, W.N., Ingersoll, J., Ross, S.A., 2003. High-water marks and hedge fund management contracts. J. Financ. 58, 1685â1718.
    Paper not yet in RePEc: Add citation now
  27. Green, R., 1984. Investment incentives, debt and warrants. J. Financ. Econ. 13, 115â136.

  28. Gupta, A., Liang, B., 2005. Do hedge funds have enough capital? A value-at-risk approach. J. Financ. Econ. 77, 219â253.

  29. Ingersoll, J., 1977. A contingent-claims valuation of convertible securities. J. Financ. Econ. 4, 289â321.

  30. Jensen, M.C., Meckling, W.H., 1976. Theory of the firm: managerial behavior, agency costs and ownership structure. J. Financ. Econ. 3, 305â360.

  31. Mayers, D., 1998. Why firms issue convertible bonds: The matching of financial and real investment options. J. Financ. Econ. 47, 83â102.
    Paper not yet in RePEc: Add citation now
  32. Merton, R.C., 1973. An intertemporal capital asset pricing model. Econometrica 41, 867â887.

  33. Mitchell, M., Pedersen, L.H., Pulvino, T., 2007. Slow moving capital. Am. Econ. Rev. 97, 215â 220.

  34. Mitchell, M., Pulvino, T., 2001. Characteristics of risk in risk arbitrage. J. Financ. 56, 2135â2175.

  35. Newey, W., West, K., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703â708.

  36. Nyborg, K., Sundaresan, S., 1996. Discriminatory versus uniform treasury auctions: Evidence from when-issued transactions. J. Financ. Econ. 42, 63â105.

  37. Pulliam, S., 2004. Mixed blessing: How hedge-fund trading sent a company's stock on wild ride. Wall Street Journal December 28, A1.
    Paper not yet in RePEc: Add citation now
  38. Stein, J.C., 1992. Convertible bonds as backdoor equity financing. J. Financ. Econ. 32, 3â21.

  39. Tsiveriotis, K., Fernandes, C., 1998. Valuing convertible bonds with credit risk. J. Fixed Income 8, 95â102.
    Paper not yet in RePEc: Add citation now
  40. Woodson, H., 2002. Global convertible investing : The Gabelli way. Wiley, New York.
    Paper not yet in RePEc: Add citation now
  41. Zuckerman, G., 2008. Convertible bonds cause hedge funds serious pain. Wall Street Journal November 4, C1.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2017). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1508.

    Full description at Econpapers || Download paper

  2. Compensation schemes, liquidity provision, and asset prices: an experimental analysis. (2017). Massenot, Baptiste ; Gortner, Paul ; Baghestanian, Sascha.
    In: Experimental Economics.
    RePEc:kap:expeco:v:20:y:2017:i:2:d:10.1007_s10683-016-9493-0.

    Full description at Econpapers || Download paper

  3. The impact of portfolio disclosure on hedge fund performance. (2017). Shi, Zhen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:126:y:2017:i:1:p:36-53.

    Full description at Econpapers || Download paper

  4. Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

    Full description at Econpapers || Download paper

  5. Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Naik, Narayan Y ; Agarwal, Vikas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510.

    Full description at Econpapers || Download paper

  6. Rewarding risk-taking or skill? The case of private equity fund managers. (2017). Wagner, Niklas ; Buchner, Axel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:14-32.

    Full description at Econpapers || Download paper

  7. Systemic risk and cross-sectional hedge fund returns. (2017). Hwang, In Chang ; Kim, Tong Suk ; In, Francis ; Xu, Simon.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:42:y:2017:i:c:p:109-130.

    Full description at Econpapers || Download paper

  8. Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2017). Broeders, Dirk ; Rijsbergen, David ; van Oord, Arco .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:561.

    Full description at Econpapers || Download paper

  9. Limited attention, marital events and hedge funds. (2016). Ray, Sugata ; Teo, Melvyn ; Lu, Yan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:122:y:2016:i:3:p:607-624.

    Full description at Econpapers || Download paper

  10. Short selling meets hedge fund 13F: An anatomy of informed demand. (2016). Zhang, Hong ; Massa, Massimo ; Jiao, Yawen .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:122:y:2016:i:3:p:544-567.

    Full description at Econpapers || Download paper

  11. Capitalizing on Capitol Hill: Informed trading by hedge fund managers. (2016). Gao, Meng ; Huang, Jiekun.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:3:p:521-545.

    Full description at Econpapers || Download paper

  12. Reviewing the hedge funds literature I: Hedge funds and hedge funds managerial characteristics. (2016). Hudson, Robert ; Azevedo, Alcino ; el Kalak, Izidin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:85-97.

    Full description at Econpapers || Download paper

  13. Reviewing the hedge funds literature II: Hedge funds returns and risk management characteristics. (2016). Hudson, Robert ; el Kalak, Izidin ; Azevedo, Alcino.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:55-66.

    Full description at Econpapers || Download paper

  14. Who Trades Against Mispricing?. (2016). Giannetti, Mariassunta ; Kahraman, Bige.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11156.

    Full description at Econpapers || Download paper

  15. Funding liquidity risk of funds of hedge funds: Evidence from their holdings. (2015). Agarwal, Vikas ; Shi, Zhen ; Aragon, George O.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1512.

    Full description at Econpapers || Download paper

  16. Tail risk in hedge funds: A unique view from portfolio holdings. (2015). Ruenzi, Stefan ; Agarwal, Vikas ; Weigert, Florian.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1507.

    Full description at Econpapers || Download paper

  17. Volatility of aggregate volatility and hedge funds returns. (2015). ARISOY, Yakup ; Agarwal, Vikas ; Naik, Narayan Y.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1503r.

    Full description at Econpapers || Download paper

  18. Volatility of aggregate volatility and hedge funds returns. (2015). ARISOY, Yakup ; Agarwal, Vikas ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1503.

    Full description at Econpapers || Download paper

  19. Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings. (2015). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2015:08.

    Full description at Econpapers || Download paper

  20. Hedge Funds: A Dynamic Industry In Transition. (2015). Lo, Andrew ; Getmansky, Mila ; Lee, Peter A.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21449.

    Full description at Econpapers || Download paper

  21. Activist funds, leverage, and procyclicality. (2015). Burkart, Mike ; Dasgupta, Amil .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:65095.

    Full description at Econpapers || Download paper

  22. The Wall Street walk when blockholders compete for flows. (2015). Dasgupta, Amil ; Piacentino, Giorgia.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:63144.

    Full description at Econpapers || Download paper

  23. Incentive pay and bank risk-taking: Evidence from Austrian, German, and Swiss banks. (2015). Steinbrecher, Johannes ; Kampkötter, Patrick ; Hau, Harald ; Efing, Matthias ; Kampkotter, Patrick.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:96:y:2015:i:s1:p:s123-s140.

    Full description at Econpapers || Download paper

  24. Are hedge funds registered in Delaware different?. (2015). Cumming, Douglas ; Johan, Sofia ; Dai, NA.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:35:y:2015:i:c:p:232-246.

    Full description at Econpapers || Download paper

  25. Short Selling Meets Hedge Fund 13F: An Anatomy of Informed Demand. (2015). Zhang, Hong ; Jiao, Yawen ; Massa, Massimo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10471.

    Full description at Econpapers || Download paper

  26. Hedge fund attributes and volatility around equity offerings. (2014). Kwak, Sungkyu ; Walker, Rosemary ; Hull, Robert.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:38:y:2014:i:3:p:359-382.

    Full description at Econpapers || Download paper

  27. Crystallization – the Hidden Dimension of Hedge Funds Fee Structure. (2014). Frömmel, Michael ; Elaut, Gert ; FRoMMEL, M. ; SJoDIN, J..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:14/872.

    Full description at Econpapers || Download paper

  28. Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Ghysels, Eric ; Chabot, Benjamin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20660.

    Full description at Econpapers || Download paper

  29. Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks. (2014). Steinbrecher, Johannes ; Kampkötter, Patrick ; Hau, Harald ; Efing, Matthias ; Kampkotter, Patrick.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20468.

    Full description at Econpapers || Download paper

  30. Illiquidity Risk in Non-Listed Funds: Evidence from REIT Fund Exits and Redemption Suspensions. (2014). Wiley, Jonathan .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:49:y:2014:i:2:p:205-236.

    Full description at Econpapers || Download paper

  31. Activist Funds, Leverage, and Procyclicality. (2014). Burkart, Mike ; Dasgupta, Amil .
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp733.

    Full description at Econpapers || Download paper

  32. Momentum Trading, Return Chasing and Predictable Crashes. (2014). Jagannathan, Ravi ; Chabot, Benjamin ; Ghysels, Eric.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2014-27.

    Full description at Econpapers || Download paper

  33. Returns to Active Management: The Case of Hedge Funds. (2014). Kazemi, Maziar ; Islamaj, Ergys.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1112.

    Full description at Econpapers || Download paper

  34. The dynamics of hedge fund share restrictions. (2014). Hong, Xin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:82-99.

    Full description at Econpapers || Download paper

  35. Hedge Fund Innovation. (2014). Zamojski, Marcin ; Stefanova, Denitsa ; Siegmann, Arjen.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-13.

    Full description at Econpapers || Download paper

  36. Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Chabot, Benjamin ; Ghysels, Eric.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10234.

    Full description at Econpapers || Download paper

  37. Incentive Pay and Bank Risk-Taking:Evidence from Austrian, German, and Swiss Banks. (2014). Steinbrecher, Johannes ; Kampkötter, Patrick ; Hau, Harald ; Efing, Matthias ; Kampkotter, Patrick.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10217.

    Full description at Econpapers || Download paper

  38. Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks. (2014). Steinbrecher, Johannes ; Kampkötter, Patrick ; Hau, Harald ; Efing, Matthias ; Kampkotter, Patrick.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4984.

    Full description at Econpapers || Download paper

  39. Measuring the performance of hedge funds using two-stage peer group benchmarks. (2013). Yao, Juan ; Oehler, Patrick ; JEYASREEDHARAN, NAGARATNAM ; Wilkens, Marco.
    In: Working Papers.
    RePEc:tas:wpaper:17315.

    Full description at Econpapers || Download paper

  40. Leverage and Alpha: The Case of Funds of Hedge Funds. (2013). Dewaele, Benoit .
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/149175.

    Full description at Econpapers || Download paper

  41. Portfolio Optimization for Hedge Funds through Time-Varying Coefficients. (2013). Dewaele, Benoit .
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/149174.

    Full description at Econpapers || Download paper

  42. Indirect Incentives of Hedge Fund Managers. (2013). Weisbach, Michael ; Sensoy, Berk A. ; Lim, Jongha.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18903.

    Full description at Econpapers || Download paper

  43. Are mutual funds sitting ducks?. (2013). Yun, Hayong ; Shive, Sophie.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:1:p:220-237.

    Full description at Econpapers || Download paper

  44. Hedge fund liquidity and performance: Evidence from the financial crisis. (2013). Schmid, Markus ; Schaub, Nic.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:671-692.

    Full description at Econpapers || Download paper

  45. Why is hedge fund activism procyclical?. (2013). Burkart, Mike ; Dasgupta, Amil .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9409.

    Full description at Econpapers || Download paper

  46. Inferring reporting biases in hedge fund databases from hedge fund equity holdings. (2012). Agarwal, Vikas ; Jiang, Wei ; Fos, Vyacheslav.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1008r.

    Full description at Econpapers || Download paper

  47. Forecasting the performance of hedge fund styles. (2012). Olmo, Jose ; Sanso-Navarro, Marcos.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2351-2365.

    Full description at Econpapers || Download paper

  48. Management compensation and market timing under portfolio constraints. (2012). priestley, richard ; Gomez, Juan-Pedro ; Agarwal, Vikas.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:10:p:1600-1625.

    Full description at Econpapers || Download paper

  49. Diversification in the hedge fund industry. (2012). Dai, Na ; Cumming, Douglas ; Shawky, Hany A..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:1:p:166-178.

    Full description at Econpapers || Download paper

  50. Risk Governance for funds. (2010). Verlaine, Michel .
    In: Cahiers du CEREFIGE.
    RePEc:fie:wpaper:1003.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 23:23:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.