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What drives the performance of convertible-bond funds?

Ammann, Manuel and Kind, Axel and Seiz, Ralf. (2010) What drives the performance of convertible-bond funds? Journal of banking & finance, Vol. 34. pp. 2600-2613.

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Official URL: http://edoc.unibas.ch/dok/A5841709

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Abstract

This paper examines the performance of US mutual funds that invest primarily in convertible bonds. Multivariate cross-sectional analyses show a significant relation between a fund’s performance and its asset composition: the higher the difference in the percentage of assets invested in convertible bonds compared to the percentage invested in stocks, the higher the performance, on average. We show that this result can be explained by factors associated with investment opportunities in the convertible-bond market and trading strategies related to convertible arbitrage, as typically performed by hedge funds. Overall, convertible-bond fund performance measured by alpha is comparable to a passive investment in stocks, bonds, and convertible bonds. This performance is the result of weak selection skills and successful timing strategies related to convertible arbitrage.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Ehemalige Einheiten Wirtschaftswissenschaften > Corporate Finance (Kind)
UniBasel Contributors:Kind, Axel H.
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:[online] Elsevier Science
ISSN:0378-4266
Note:Publication type according to Uni Basel Research Database: Journal article
Last Modified:14 Sep 2012 07:20
Deposited On:14 Sep 2012 07:09

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