FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1790561894> ?p ?o ?g. }

• W1790561894 abstract "It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios over the period 2005-2009. In this paper we introduce four new alternative strategies that, while still based on the discrepancy between the CDS market spread and its equity-implied spread, exploit the information provided by the time-varying price discovery of the equity and CDS markets. We implement the strategies for both US and European obligors and find that these outperform traditional arbitrage trading during the financial crisis. Moreover, the new strategies show higher Sharpe ratios when CDS and equity-implied spreads are cointegrated. The correlation of the new trading rules with hedge fund index returns is low or negative even during the crisis, which suggests that the new rules can be used for portfolio diversification at times when risk reduction is hard to achieve." @default.
• W1790561894 created "2016-06-24" @default.
• W1790561894 creator A5078670480 @default.
• W1790561894 creator A5088913827 @default.
• W1790561894 date "2012-11-14" @default.
• W1790561894 modified "2023-09-22" @default.
• W1790561894 title "Rethinking Capital Structure Arbitrage" @default.
• W1790561894 cites W1503129549 @default.
• W1790561894 cites W1864467867 @default.
• W1790561894 cites W1972847850 @default.
• W1790561894 cites W1977480757 @default.
• W1790561894 cites W1978867264 @default.
• W1790561894 cites W1989292978 @default.
• W1790561894 cites W2016087196 @default.
• W1790561894 cites W2063783465 @default.
• W1790561894 cites W2092200574 @default.
• W1790561894 cites W2104723218 @default.
• W1790561894 cites W2105973145 @default.
• W1790561894 cites W2117871738 @default.
• W1790561894 cites W2127169188 @default.
• W1790561894 cites W2132503803 @default.
• W1790561894 cites W2153900362 @default.
• W1790561894 cites W2161286290 @default.
• W1790561894 cites W2167429103 @default.
• W1790561894 cites W2569451820 @default.
• W1790561894 cites W3047790459 @default.
• W1790561894 cites W3121328583 @default.
• W1790561894 cites W3121630491 @default.
• W1790561894 cites W3124800418 @default.
• W1790561894 cites W3125041188 @default.
• W1790561894 cites W3125622265 @default.
• W1790561894 cites W3123699647 @default.
• W1790561894 cites W3124246867 @default.
• W1790561894 hasPublicationYear "2012" @default.
• W1790561894 type Work @default.
• W1790561894 sameAs 1790561894 @default.
• W1790561894 citedByCount "0" @default.
• W1790561894 crossrefType "posted-content" @default.
• W1790561894 hasAuthorship W1790561894A5078670480 @default.
• W1790561894 hasAuthorship W1790561894A5088913827 @default.
• W1790561894 hasConcept C10138342 @default.
• W1790561894 hasConcept C106159729 @default.
• W1790561894 hasConcept C139719470 @default.
• W1790561894 hasConcept C139938925 @default.
• W1790561894 hasConcept C142450864 @default.
• W1790561894 hasConcept C144133560 @default.
• W1790561894 hasConcept C149782125 @default.
• W1790561894 hasConcept C160623529 @default.
• W1790561894 hasConcept C162324750 @default.
• W1790561894 hasConcept C162853370 @default.
• W1790561894 hasConcept C165696696 @default.
• W1790561894 hasConcept C17744445 @default.
• W1790561894 hasConcept C180916674 @default.
• W1790561894 hasConcept C181236170 @default.
• W1790561894 hasConcept C199539241 @default.
• W1790561894 hasConcept C199728807 @default.
• W1790561894 hasConcept C204434749 @default.
• W1790561894 hasConcept C2778300220 @default.
• W1790561894 hasConcept C2780821815 @default.
• W1790561894 hasConcept C38652104 @default.
• W1790561894 hasConcept C41008148 @default.
• W1790561894 hasConcept C42854785 @default.
• W1790561894 hasConcept C52008547 @default.
• W1790561894 hasConcept C556758197 @default.
• W1790561894 hasConceptScore W1790561894C10138342 @default.
• W1790561894 hasConceptScore W1790561894C106159729 @default.
• W1790561894 hasConceptScore W1790561894C139719470 @default.
• W1790561894 hasConceptScore W1790561894C139938925 @default.
• W1790561894 hasConceptScore W1790561894C142450864 @default.
• W1790561894 hasConceptScore W1790561894C144133560 @default.
• W1790561894 hasConceptScore W1790561894C149782125 @default.
• W1790561894 hasConceptScore W1790561894C160623529 @default.
• W1790561894 hasConceptScore W1790561894C162324750 @default.
• W1790561894 hasConceptScore W1790561894C162853370 @default.
• W1790561894 hasConceptScore W1790561894C165696696 @default.
• W1790561894 hasConceptScore W1790561894C17744445 @default.
• W1790561894 hasConceptScore W1790561894C180916674 @default.
• W1790561894 hasConceptScore W1790561894C181236170 @default.
• W1790561894 hasConceptScore W1790561894C199539241 @default.
• W1790561894 hasConceptScore W1790561894C199728807 @default.
• W1790561894 hasConceptScore W1790561894C204434749 @default.
• W1790561894 hasConceptScore W1790561894C2778300220 @default.
• W1790561894 hasConceptScore W1790561894C2780821815 @default.
• W1790561894 hasConceptScore W1790561894C38652104 @default.
• W1790561894 hasConceptScore W1790561894C41008148 @default.
• W1790561894 hasConceptScore W1790561894C42854785 @default.
• W1790561894 hasConceptScore W1790561894C52008547 @default.
• W1790561894 hasConceptScore W1790561894C556758197 @default.
• W1790561894 hasLocation W17905618941 @default.
• W1790561894 hasOpenAccess W1790561894 @default.
• W1790561894 hasPrimaryLocation W17905618941 @default.
• W1790561894 hasRelatedWork W2000090018 @default.
• W1790561894 hasRelatedWork W2005432509 @default.
• W1790561894 hasRelatedWork W2014671970 @default.
• W1790561894 hasRelatedWork W2068396365 @default.
• W1790561894 hasRelatedWork W2098460687 @default.
• W1790561894 hasRelatedWork W2122916666 @default.
• W1790561894 hasRelatedWork W2256787666 @default.
• W1790561894 hasRelatedWork W2275108458 @default.
• W1790561894 hasRelatedWork W242766773 @default.

• next