Beyond rocket science: A factor model for convertible bond returns
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DOI: 10.1016/j.econlet.2023.111362
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More about this item
Keywords
Factor model; Convertible bonds; Return predictability; Option pricing;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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