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Fabozzi, F.J., Liu, J. and Switzer, L.N. (2009) Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies. Journal of Alternative Investments, 11, 37-64.
https://doi.org/10.3905/JAI.2009.11.3.037

has been cited by the following article:

• TITLE: Dynamic Arbitrageurs’ Long-Run Impacts on Convertible Bond Issuers’ Stock Prices

  AUTHORS: Serhat Yildiz

  KEYWORDS: Convertible Bond, Stock Prices

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.9, June 12, 2018

  ABSTRACT: I examine convertible bond arbitrageurs’ long-run impact on convertible bond issuers’ stock prices. I find a negative relation between arbitrage activity around convertible bond issues and convertible bond issuers’ long-run stock returns. Average three-year holding period return of convertible bond issuers with no-arbitrage activity around their convertible bond issues is two times larger than that of convertible bond issuers with arbitrage activity around their convertible bond issues. Overall, I show that convertible bond arbitrageurs’ price impact is not limited to short-term [1], but it also has a long-term component.