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The Rise and Demise of the Convertible Arbitrage Strategy
16 references·8 citing·37 second hop
The Rise and Demise of the Convertible Arbitrage Strategy (2009)The Rise and Demise of the Convertible Ar…Theory of rational option pricing (2005)Theory of rational option pri…Price Pressure around Mergers (2004)Price Pressure around MergersMutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…The Determinants of Underpricing for Seasoned Equity Offers (2003)The Determinants of Underpric…Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Analyzing Convertible Bonds (1980)Analyzing Convertible BondsCONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION (1977)CONVERTIBLE BONDS: VALUATION …A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Can short sellers constrain aggressive non-GAAP reporting? (2021)Can short sellers constrain a…The buyers’ perspective on security design: Hedge funds and convertible bond call provisions (2017)The buyers’ perspective on se…More than meets the eye: Convertible bond issuers' concurrent transactions (2013)More than meets the eye: Conv…Cash-settled convertible bonds and the value relevance of their accounting treatment (2013)Cash-settled convertible bond…Do Convertible Bond Issuers Cater to Investor Demand? (2012)Do Convertible Bond Issuers C…Determinants of Corporate Call Policy for Convertible Bonds (2011)Determinants of Corporate Cal…Convertible security design and contract innovation (2011)Convertible security design a…An Empirical Comparison of Convertible Bond Valuation Models (2010)An Empirical Comparison of Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds and the Technology Bubble (2004)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Another Look at Models of the Short-Term Interest Rate (1996)Valuing Risky Fixed Rate Debt: An Extension (1997)Option pricing: A simplified approach (1979)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Just How Much Do Individual Investors Lose by Trading? (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 1980Analyzing Convertible Bonds568 cited
  • 2003The Determinants of Underpricing for Seasoned Equity Offers505 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION473 cited
  • 2004Price Pressure around Mergers426 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt406 cited
  • 1995

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Pricing Derivatives on Financial Securities Subject to Credit Risk
396 cited

Cited by

  • 2011Determinants of Corporate Call Policy for Convertible Bonds49 cited
  • 2010An Empirical Comparison of Convertible Bond Valuation Models45 cited
  • 2012Do Convertible Bond Issuers Cater to Investor Demand?39 cited
  • 2011Convertible security design and contract innovation39 cited
  • 2021Can short sellers constrain aggressive non-GAAP reporting?31 cited
  • 2017The buyers’ perspective on security design: Hedge funds and convertible bond call provisions23 cited
  • 2013Cash-settled convertible bonds and the value relevance of their accounting treatment21 cited
  • 2013More than meets the eye: Convertible bond issuers' concurrent transactions20 cited