Choi, Darwin
[Verfasser:in]
;
Getmansky Sherman, Mila
[Sonstige Person, Familie und Körperschaft];
Tookes, Heather
[Sonstige Person, Familie und Körperschaft]
Convertible Bond Arbitrage, Liquidity Externalities and Stock Prices
Anmerkungen:
In: Journal of Financial Economics, Vol. 91, No. 2, pp. 227-251, February 2009
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 27, 2008 erstellt
Beschreibung:
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