Convertible Bond Arbitrage Smart Beta
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-022-10335-6.pdf
Reference68 articles.
1. Agarwal, V., Fung, W. H., Loon, Y. C., & Naik, N. Y. (2011). Risk and return in convertible arbitrage: Evidence from the convertible bond market. Journal of Empirical Finance, 18(2), 175–194. https://doi.org/10.1016/j.jempfin.2010.11.008
2. Amenc, N., & Goltz, F. (2013). Smart beta 2.0. Journal of Index Investing, 4(3), 15–23. https://doi.org/10.3905/jii.2013.4.3.015
3. Ammann, M., Kind, A., & Wilde, C. (2003). Are convertible bonds underpriced? An analysis of the French market. Journal of Banking and Finance, 27, 635–653. https://doi.org/10.1016/S0378-4266(01)00256-4
4. Andersen, L., & Buffum, D. (2004). Calibration and implementation of convertible bond models. Journal of Computational Finance, 7, 1–34. https://doi.org/10.21314/JCF.2003.124
5. Arakelyan, A., & Serrano, P. (2012). Liquidity in credit default swap markets. Journal of Multinational Financial Management, 37–38, 139–157. https://doi.org/10.1016/j.mulfin.2016.09.001
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