کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960470 929473 2009 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Convertible bond arbitrage, liquidity externalities, and stock prices
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Convertible bond arbitrage, liquidity externalities, and stock prices
چکیده انگلیسی

In the context of convertible bond issuance, we examine the impact of arbitrage activity on underlying equity markets. In particular, we use changes in equity short interest following convertible bond issuance to identify convertible bond arbitrage activity and analyze its impact on stock market liquidity and prices for the period 1993 to 2006. There is considerable evidence of arbitrage-induced short selling resulting from issuance. Moreover, we find strong evidence that this activity is systematically related to liquidity improvements in the stock. These results are robust to controlling for the potential endogeneity of arbitrage activity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 91, Issue 2, February 2009, Pages 227–251
نویسندگان
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