Short Selling Activities and Convertible Bond Arbitrage : Empirical Evidence from the New York Stock Exchange

Online-Ressource (XX, 256p. 11 illus, digital)

Includes bibliographical references

Foreword; Acknowledgements; Overview; Table of Contents; List of Tables; List of Figures; List of Abbreviations; 1 Introduction; 1.1 Background and Objective; 1.2 Organization of the Dissertation; 2 Background and Empirical Predictions; 2.1 Short Selling; 2.1.1 Foundations; 2.1.1.1 General Mechanics and Institutional Details of Short Sales in U.S. Equity Markets; 2.1.1.2 A Change to U.S. Short Selling Regulation - Regulation SHO; 2.1.1.3 Motives for Short Selling Activities; 2.1.1.4 Market Development of Short Sales in Recent Years; 2.1.2 Literature Review on Short Selling

2.1.2.1 Theoretical Work2.1.2.2 Empirical Evidence; 2.1.2.2.1 Information Content of Short Sales; 2.1.2.2.2 Arbitrage-Based Short Selling; 2.1.3 Determinants of Short Selling; 2.1.3.1 Valuation; 2.1.3.2 Arbitrage and Hedging; 2.1.3.3 Short Sale Constraints; 2.1.4 Summary; 2.2 Convertible Bond Arbitrage; 2.2.1 Convertible Bonds; 2.2.1.1 Theoretical Foundations and Terminology; 2.2.1.2 Delta and Gamma; 2.2.2 The Convertible Bond Arbitrage Strategy; 2.2.3 Historical Performance and Market Activity; 2.2.4 Literature Review on Convertible Bond Arbitrage and Short Selling Activity; 2.2.5 Summary

2.3 Empirical Predictions2.3.1 Research Objective and Propositions; 2.3.2 Difference in Trading Pattern; 2.3.3 Difference in Information Content and Impact on Stock Returns; 3 The Event Study Methodology; 3.1 Relevance of the Methodology for the Empirical Investigation; 3.2 Outline of an Event Study; 3.3 Estimation of Abnormal Returns; 3.3.1 Overview; 3.3.2 Market Model Approach; 3.3.3 Market Adjusted Return Model Approach; 3.3.4 Time-Series and Cross-Sectional Aggregation; 3.4 Estimation of Abnormal Short Selling Activity; 3.4.1 Overview; 3.4.2 Mean Adjusted Approach

3.4.3 Market Model Approach3.4.4 Time-Series and Cross-Sectional Aggregation; 3.5 Hypotheses Testing; 3.5.1 Tests of Equality; 3.5.2 Single Hypotheses Tests; 3.6 Summary; 4 Data, Full Sample and Variable Construction; 4.1 Data Sources; 4.1.1 Daily Short Sale Transaction Data; 4.1.2 Convertible Bond Data; 4.1.3 Stock, Firm, and Accounting Data; 4.2 Full Sample Construction; 4.3 Variable Construction; 4.3.1 Firm and Stock Characteristics; 4.3.2 Trading Activity Variables; 4.3.3 Dummy Variables; 4.3.4 Convertible Bond Variables; 4.4 Summary

5 Difference in Abnormal Short Selling Activity Following Events of Large Positive Stock Price Changes5.1 Measuring the Difference in Abnormal Short Selling Activity; 5.1.1 Methodology and Set-up; 5.1.1.1 Event Determination and Sample Construction; 5.1.1.2 Measuring Post-Event Abnormal Short Selling Activity; 5.1.1.3 Measuring Differences between Event Observation Sub-Samples; 5.1.1.4 Building Delta Splits; 5.1.2 Descriptives; 5.1.2.1 Total Event Sample and Sub-Sample Characteristics; 5.1.2.2 Delta Split Characteristics; 5.1.3 Event Study Results; 5.1.3.1 Total Event Sample Results

5.1.3.2 Delta Split Results

10.1007/978-3-8349-6003-0 [DOI]

ECONIS - Online Catalogue of the ZBW