Convertible Debt Arbitrage Crashes Revisited
研究了2008年可转债市场套利崩盘的严重程度，通过估算立即清算投资组合的成本，发现即时流动性成本虽高，但卖方大多能避免以跳楼价出售，这得益于交易商识别流动性驱动交易并转向无风险主交易。
Abstract This article examines the severity of the 2008 arbitrage crash in the convertible bond market by estimating how expensive it would have been to liquidate portfolio securities immediately. We consider whether funds actually demanded immediate liquidity or were able to delay trades. Our results indicate that the cost of immediacy was high, but that convertible bond sellers could largely avoid selling at fire sale prices. These results can be explained by dealers recognizing when trades are liquidity-motivated rather than information-based and by a shift to riskless principal trading, allowing dealers to avoid taking bonds into inventory.