Convertible Debt Arbitrage Crashes Revisited

被引：0
|
作者：
Lewis, Craig [1 ]
Munyan, Ben [2 ]
Verwijmeren, Patrick [3 ,4 ]
机构：
[1] Vanderbilt Univ, Owen Grad Sch Management, Nashville, TN 37235 USA
[2] Fed Reserve Bank Dallas, Dallas, TX USA
[3] Erasmus Sch Econ, Rotterdam, Netherlands
[4] Univ Melbourne, Melbourne, Australia
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2024年 / 59卷 / 04期
关键词：
SECURITY DESIGN; TRADING COSTS; HEDGE FUNDS; BOND; LIQUIDITY; ANONYMITY; PRICES; SALES;
D O I：
10.1017/S0022109023000583
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article examines the severity of the 2008 arbitrage crash in the convertible bond market by estimating how expensive it would have been to liquidate portfolio securities immediately. We consider whether funds actually demanded immediate liquidity or were able to delay trades. Our results indicate that the cost of immediacy was high, but that convertible bond sellers could largely avoid selling at fire sale prices. These results can be explained by dealers recognizing when trades are liquidity-motivated rather than information-based and by a shift to riskless principal trading, allowing dealers to avoid taking bonds into inventory.
引用
收藏
页码：1926 / 1962
页数：37
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