The Empirical Study of Capital Structure Arbitrage by Geske Structural Model
| Autor: | Yi-Jung Lin, 林依蓉 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 Capital structure arbitrage (or debt-equity trading), which exploit the mispricing between a credit default swap (CDS) has become the most of popular method among hedge funds and bank proprietary trading desks. This research uses multi-period Geske structural models by Chen and Yeh (2006) to estimate the default probabilities and CDS spread, and make arbitrage for 369 North American obligors. The empirical result showed that, there are indeed a negative relationship between CDS spread and equity market, and the speculative-grade obligors is more profitable than investment-grade obligors. In other words, we can make profit by using capital structure arbitrage in America market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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