haku: @indexterm arbitrage / yhteensä: 72
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| 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. |
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