eee · 2019年04月11日
distressed debt arbitrage是买破产公司债券卖破产公司股票，经典题通关课说债券有凸性，降价会比股票降低少，涨价涨得多，这个凸性应该是仅仅是衡量利率变化导致的债券价格变化吧，实际利率对股票如何影响教材也没有明确涉及，所以不太明白这里卖债券买股票对冲的是什么风险，能否具体解释下如何获利，仅仅是凸性似乎解释不清。
另外书后题有这样一句话：CTAs are more likely to be able to conduct profitable arbitrage trades between stock, bond, futures, options, and cash markets because of differential carrying costs between investors.”
(Institute 118)
这个知识点我隐约记得基础课讲过，但是记不清了，可否讲解一下carrying cost为什么会有不同？
韩韩_品职助教 · 2019年04月11日
同学你好，这里原版书的确也没有说利率对股票的影响，我们这里主要是从value的变化来看的。
Distressed debt arbitrage (or distressed arbitrage) involves purchasing the traded bonds of bankrupt companies and selling the common
equity short. The hedge fund manager attempts to buy the debt at steep discounts. If the company’s prospects worsen, the value of the
company’s debt and equity should decline, but the hedge fund manager hopes that the equity, in which the fund has a short position, will
decline to a greater degree. Indeed, as a residual claim, the value of equity may be wiped out. If the company’s prospects improve, the
portfolio manager hopes that the debt will appreciate at a higher rate than the equity because the initial benefits to a credit improvement
accrue to bonds as the senior claim in the capital structure. Typically, the company will have already suspended any dividends, but
debtholders will receive accrued interest. Distressed debt arbitrage has been popular with hedge funds.
