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
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