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• W18045002 abstract "The predominant explanation for arbitrage crashes is a lack of investor capital to exploit mispricing. This paper shows that slow-moving capital is only partially responsible for the past arbitrage crashes in the convertible bond market. Even when convertible bonds were severely underpriced, some investors continued to buy strictly dominated straight bonds from the same issuers. Our findings suggest that both market segmentation and slow-moving capital obstructed the recovery from the arbitrage crashes. Furthermore, exploiting the market segmentation with a long/short trading strategy provides positive abnormal returns after accounting for transaction costs." @default.
• W18045002 created "2016-06-24" @default.
• W18045002 creator A5039426757 @default.
• W18045002 creator A5040147239 @default.
• W18045002 date "2013-01-01" @default.
• W18045002 modified "2023-09-23" @default.
• W18045002 title "Arbitrage Crashes: Slow-Moving Capital or Market Segmentation?" @default.
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• W18045002 doi "https://doi.org/10.2139/ssrn.2364362" @default.
• W18045002 hasPublicationYear "2013" @default.
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