haku: @indexterm arbitrage / yhteensä: 72
viite: 11 / 72
Tekijä:Choi, D.
Getmansky, M.
Tookes, H.
Otsikko:Convertible bond arbitrage, liquidity externalities, and stock prices
Lehti:Journal of Financial Economics
2009 : FEB, VOL. 91:2, p. 227-251
Asiasana:stock markets
market efficiency
share prices
arbitrage
bonds
liquidity
companies
USA
Vapaa asiasana:hedge funds
Kieli:eng
Tiivistelmä:This paper examines the impact of arbitrage (henceforth as: arb.) activity (here as: arb-acty.) on underlying equity markets. Especially, changes in equity short interest following convertible bond (here as: c-b.) issuance are used to identify c-b. arb-acty. Its impact on stock market liquidity and prices from 1993 to 2006 is analyzed. There is considerable evidence of arb.-induced short selling resulting from issuance. Moreover, there is found strong evidence that this activity is systematically related to liquidity improvements in the stock.
SCIMA tietueen numero: 271553
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