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Studies / Analysis on convertibles

Igor Loncarski, Jenke ter Horst and Chris Veld - 23.01.2009

The Rise and Demise of the Convertible Arbitrage Strategy 2009

Convertible arbitrage has been one of the most successful hedge fund strategies at the turn of the Millenium. Even though the returns of convertible arbitrage have strongly decreased in recent years, its trades currently represent more than half of the secondary market trading in convertible securities with hedge funds as the most important player in this market.

The Rise and Demise of the Convertible Arbitrage Strategy

This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies.

Why do companies issue convertible bonds? A review of theory and empirical evidence

The literature on the motives for the issuance of convertible debt is reviewed. This literature shows a large discrepancy between theory and practice. Surveys show that managers base their motives for the use of convertible debt on factors that are irrational according to the theoretical literature. This theoretical literature in turn offers a number of rational motives. These motives are based on the resolution of the problems of informational asymmetry and agency costs, on tax motivations and managerial entrenchment arguments.

The Influence of Volatility on the Value of Convertible Bonds (Der Einfluss der Volatilität auf den Wert der Wandelobligation)

This thesis attempts to provide a condensed overview of the prevalent valuation models for convertible bonds and does this in the form of an empirical study.

Anja Cavigilli / University of Zurich - 01.08.2005

Why Do Companies Issue Mandatory Convertibles?

Mandatory convertible securities (MCS) have been widely used in the USA for quite some time, but only in recent years have they started to become more well-known in Europe. And now a growing number of companies in the Swiss market are discovering this new form of financing. This increasing popularity raises a few questions. What reasons do companies have for issuing this complex financial instrument? And is there sufficiently large market demand for this instrument?

Liebig-Universität Gießen - 26.06.2005

Colloquium “Convertible Bond Funds”

The colloquium takes a close look at valuation methods and specific features of convertible bond funds, examines the possibility of portfolio optimization through the addition of convertible bond funds and outlines their advantages compared to investing directly in convertibles.

Frédéric Heller / University of Zurich - 01.06.2005

Exchangeable Bonds – A Hybrid Financial Derivative with Opportunities and Risks

This thesis analyzes and evaluates the significance of exchangeable bonds (XBs). It explains the structure of and the way that XBs function. It identifies the reasons for issuing XBs and provides an economic assessment of the opportunities and risks associated with this financial product.

Gölle, Choutov, Windolf / School of Law and Economics of Johannes Gutenberg University, Mainz - 01.06.2005

Convertibles I

The objective of this paper is to present and analyze the structure of convertibles and the reasons for the existence of this complex financial product.

Betriebswirtschaftliche und rechtliche Aspekte der Kreditfinanzierung mit teilweisem Eigenkapitalcharakter unter besonderer Berücksichtigung von Wandelanleihen, Optionsanleihen und nachrangigen Instrumenten

The objective of this thesis is to examine the business and legal aspects of the main instruments of equity-linked debt financing. Special emphasis is placed on convertible bonds and warrant bonds. Subordinated financing instruments are additionally examined.

Baumgartner / ETH Zürich - 01.01.2005

Risk Measurement of Portfolios (Risikomessung von Portfolios)

This thesis analyzes five different methods of risk measurement for portfolios and illustrates their practical implementation. Methods are identified that provide the best possible predictive value about the risk of a portfolio.

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