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- W643329799 abstract "This paper models the returns of the convertible arbitrage hedge fund strategy using a non-linear framework. Investors in the CA strategy have experienced long periods of persistent positive returns accompanied by low volatility, followed by shorter periods of extreme negative returns and high volatility, associated with periods of broad market upheaval. The smooth transition regression (STR) model specified in this study is particularly appropriate for assessing the performance of a strategy of this nature, as it allows for smooth transition between risk regimes. We find that in the alternate regimes the strategy exhibits relatively high (low) exposure to risk factors and alpha is high (low). We suggest that evidence reported in this paper accounts for abnormal returns reported for the strategy in previous studies." @default.
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- W643329799 date "2015-01-01" @default.
- W643329799 modified "2023-09-27" @default.
- W643329799 title "Does Convertible Arbitrage Risk Exposure Vary Through Time?" @default.
- W643329799 doi "https://doi.org/10.2139/ssrn.2595662" @default.
- W643329799 hasPublicationYear "2015" @default.
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