Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Convertible Debt Arbitrage Crashes Revisited
Craig Lewis, Ben Munyan, and Patrick Verwijmeren ♦ This paper 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…