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- Capital Structure Arbitrage: An Empirical Investigation Using Stocks and High Yield Bonds
- Capital structure arbitrage is one of the most recent hedge fund strategies that are rapidly gaining popularity amongst traders. This paper looks at the possibility of arbitraging mispricings between a company's high yield bond and stock. The argument behind the strategy is that the equity and debt markets quite often...
- White papers 2004-02-01
Additional Resources
- Capital Structure Arbitrage Strategies: Models, Practice and Empirical Evidence
- Capital structure arbitrage strategies currently are the fastest growing sector in the hedge fund market and in proprietary trading departments in large banks. The objective of the thesis is the theoretical and practical background of capital structure arbitrage and hedging strategies, and the empirical evidence of key relationships applying these...
- White papers 2003-11-01
- How Prevalent is Tax Arbitrage?
- Although tax arbitrage is central to the literatures on tax capitalization, implicit taxes, and even capital structure, there is little empirical evidence of the extent to which firms actually engage in tax arbitrage. This paper provides some evidence on the topic by focusing on a simple and observable corporate arbitrage...
- White papers 2002-08-07
- How Prevalent Is Tax Arbitrage? Evidence From the Market for Municipal Bonds
- Although tax arbitrage is central to the literatures on tax capitalization, implicit taxes, and even capital structure, there is little empirical evidence of the extent to which firms actually engage in tax arbitrage. This paper provides some evidence on the topic by focusing on a simple and observable corporate arbitrage...
- White papers 2002-08-01
- Why Citi Common Shares Crashed, and Why Common Preferred May Be Problematic Too
- Tyler Durden submits: (Please read update 4 for very important additional information) The Volkswagen bandwagon idea de jour was a capital structure arbitrage in Citi C preferred paired with shorting Citi common. As the government's term sheet proposed the conversion of Citi preferred stock into common at a...
- External links 2009-02-28
- Baldwin & Lyons, Incorporated Q4 2007 Earnings Call Transcript
- Question-and-Answer Session Operator We’ll take our first question from Blayne Marder - Loeb Partners. Blayne Marder - Loeb Partners Let’s talk about your investment book. One, tell us a little bit about Maratan Partners, what exactly is the strategy there? And did you say $50...
- Earnings calls 2008-02-08
- What The Final U.S. Rules Mean For Core Banks, Opt-In Banks And Consolidated Supervised Entities
- The U.S.-based criteria for depository institutions and bank holding companies that are subsidiaries or parents of core banks are the same for both foreign and domestic depository institutions and bank holding companies. This discourages the likelihood of legal and capital structure arbitrage based on domicile of incorporation. The U.S. Basel...
- White papers 2008-04-01
- Federated Investors, Inc. Q3 2007 Earnings Call Transcript
- Question-and-Answer Session Operator Thank you. We will now conduct a question-and-answer session. [Operator Instructions]. Our first question comes from the line of Ken Worthington with J.P. Morgan. Please proceed with your question. Kenneth Worthington - J.P. Morgan Hi. Good morning. J. Christopher Donahue...
- Earnings calls 2007-10-28
- CalPERS INVESTS IN ALTERNATIVES, RETAINS CUSTODIAN.(California Public Employees' Retirement System )(Brief Article)
- SACRAMENTO, Calif. - CalPERS invested $75 million in OZ Domestic Partners II, a multistrategy hedge fund managed by Och-Ziff Capital Management Group. The fund uses merger arbitrage, long-short equity special situations, convertible/capital structure SACRAMENTO, Calif. - CalPERS invested $75 million in OZ Domestic Partners II,...
- Research articles 2006-02-20
- Credit Card Securitization And Regulatory Arbitrage
- This paper explores the motivations and desirability of off-balance-sheet financing of credit card receivables by banks. It explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization permits banks to economize on capital by avoiding...
- White papers 2003-04-01
- Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
- Now in prospect is a major revision of international bank capital regulations that would embody recent advances in credit risk measurement and management. Previous regulations have been simpler in structure, with a primary goal of getting capital requirements right on average, and thus have largely ignored the difference between average...
- White papers 2000-03-01
- Tax Act Creates Opportunities for Private Equity Investors
- Tax the provisions of the Act are very positive and provide some significant opportunities to private equity investors (" PEI" s). This article discusses about several key points which includes capital structure, tax treatment arbitrage, recapitalization etc. The 10 year, $330 billion tax cut temporarily reduces individual tax rates on...
- White papers 2003-08-05
- A Model for Pricing Stocks and Bonds with Default Risk
- This paper develops a tractable, dynamic, no-arbitrage model for the pricing of bonds and stocks that are subject to default risk. The model produces the bond pricing equations of the Duffie and Singleton (1999) framework. It is then shown that a particular choice of dividend process, characterized by affine dividend...
- White papers 2002-05-01
- Loans vs. Bonds: Relative Value
- Tyler Durden submits: Slight improvement in average loan and bond spreads from two weeks ago, when loans were 857 bps and bonds averaged 1740 bps. These have tightened to 839 bps and 1574 bps respectively over the last week. Senior-secured negative basis capital structure opportunities have disappeared, compared to...
- External links 2009-03-31
- Eastman Chemical Co. Q3 2007 Earnings Call Transcript
- Question-and-Answer Session Operator Thank you. [Operator Instructions]. Our first question will come from Prashant Juvekar with Citi. PrashantJuvekar - Citigroup Good morning Brian. J. Brian Ferguson - Chairman and Chief Executive Officer Good morning sir, how are you? PrashantJuvekar -...
- Earnings calls 2007-10-28
- InterContinental Exchange Q2 2007 Earnings Call Transcript
- Question-and-Answer SessionOperator Operator Instructions And we'll go first to Daniel Harris, Goldman Sachs. Daniel Harris - Goldman Sachs Hi, good morning. How are you? Jeff Sprecher Good morning. Daniel Harris - Goldman Sachs I was wondering if you could give us a status update on the clearing...
- Earnings calls 2007-07-26
- City battlelines drawn over 'living wills'
- City advisers on Thursday sought to fend off a proposal to force banks to simplify their legal structures, saying reforms mooted by Lord Turner, chairman of the Financial Services Authority, would harm the competitiveness of the British industry. But the idea was greeted with support from some bankers and analysts,...
- News items 2009-09-03
- Covol Technologies Inc. Retires Remaining Debt With Trans Pacific Stores
- Business Editors LEHI, Utah--BUSINESS WIRE--July 14, 2000 Covol Technologies Inc. (Nasdaq:CVOL), Friday announced that it has retired its remaining debt originally incurred with Trans Pacific Stores and recently assigned to Cherokee Associates. This debt had a 14 percent interest rate and was due April 200l. The early...
- Research articles 2000-07-14
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