Arbitrage vs. informed short selling: Evidence from convertible bond issuers

被引：2
|
作者：
Hackney, John [1 ]
Henry, Tyler R. [2 ]
Koski, Jennifer L. [3 ]
机构：
[1] Univ South Carolina, Columbia, SC 29208 USA
[2] Miami Univ, Oxford, OH 45056 USA
[3] Univ Washington, Seattle, WA 98195 USA
来源：
JOURNAL OF CORPORATE FINANCE | 2020年 / 65卷
关键词：
Short selling; Informed trading; Arbitrage; Earnings announcements; Convertible bonds; PRICE PRESSURE; SHORT-SELLERS; HEDGE FUNDS; INFORMATION-CONTENT; STOCK RETURNS; DEMAND CURVES; CROSS-SECTION; SHORT SALES; MARKET; MANIPULATION;
D O I：
10.1016/j.jcorpfin.2020.101687
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Prior literature examines the effect of either informed or arbitrage short selling on equity markets. We test the relative importance of informed and uninformed short selling around convertible bond issues and earnings announcements for the same firms over the same time period. Convertible arbitrage short selling is associated with temporary price pressure, consistent with downward sloping demand curves. Earnings announcement short selling is consistent with in formed traders who anticipate future returns. Firm-specific characteristics related to the cost of short selling similarly affect both informed and arbitrage short selling. Deal-specific characteristics capturing hedging demand also strongly determine convertible arbitrage short selling.
引用
收藏
页数：22
相关论文
共 50 条
  • [21] Accounting conservatism and short selling: Evidence from China
    Jin, Zhi
    Lin, Bingxuan
    Yang, Xue
    Zhang, Ting
    [J]. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 2018, 45 (3-4) : 352 - 394
  • [22] Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers
    Verma, Rakesh Kumar
    Bansal, Rohit
    [J]. VISION-THE JOURNAL OF BUSINESS PERSPECTIVE, 2023, 27 (02) : 264 - 272
  • [23] The employment effects of short selling: evidence from China
    Bao, Hengmiao
    Li, Yushuang
    Jiang, Jiaoliang
    [J]. EUROPEAN JOURNAL OF FINANCE, 2024, 30 (13): : 1490 - 1519
  • [24] Are Short Sellers Informed? Evidence from REITs
    French, Dan
    Lynch, Andrew
    Yan, Xuemin
    [J]. FINANCIAL REVIEW, 2012, 47 (01) : 145 - 170
  • [25] How Do Options Add Value? Evidence from the Convertible Bond Market*
    Lee, Inmoo
    Renjie, Rex Wang
    Verwijmeren, Patrick
    [J]. REVIEW OF FINANCE, 2023, 27 (01) : 189 - 222
  • [26] The information content of credit ratings: evidence from European convertible bond markets
    Hundt, Steffen
    Sprungk, Bjoern
    Horsch, Andreas
    [J]. EUROPEAN JOURNAL OF FINANCE, 2017, 23 (14): : 1414 - 1445
  • [27] A Stock Market Reaction Following Convertible Bond Issuance: Evidence from Japan
    Cheng, Wei
    Visaltanachoti, Nuttawat
    Kesayan, Puspakaran
    [J]. INTERNATIONAL JOURNAL OF BUSINESS, 2005, 10 (04): : 323 - 339
  • [28] The performance of corporate bond issuers in times of financial crisis: empirical evidence from Latin America
    Berninger, Marc
    Fiesenig, Bruno
    Schiereck, Dirk
    [J]. JOURNAL OF RISK FINANCE, 2021, 22 (01) : 78 - 92
  • [29] Can convertible bond trading predict stock returns? Evidence from China
    Chen, Zhiyu
    Xu, Yun
    Wang, Yu
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2023, 79
  • [30] Limited arbitrage and short sales restrictions: evidence from the options markets
    Ofek, E
    Richardson, M
    Whitelaw, RF
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2004, 74 (02) : 305 - 342
12345