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Arbitrage vs. Informed Short Selling : Evidence From Convertible Bond Issuers
Hackney, John - 2018
Prior literature examines the effect of either informed or arbitrage short selling on equity markets. We test the … same firms over the same time period. Convertible arbitrage short selling is associated with temporary price pressure … arbitrage short selling. Deal-specific characteristics capturing hedging demand also strongly determine convertible arbitrage …
Persistent link: https://www.econbiz.de/10012925539
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Convertible Bond Arbitrage, Happy Meals, and Insider Trading
Li, Xiaoyang - 2013
Consistent with hedge funds trading on privileged information during the wall-crossing period, we document negative abnormal returns and abnormally high short selling in the trading days just prior to the private placements of U.S. convertible bonds, no pre-placement negative abnormal returns...
Persistent link: https://www.econbiz.de/10013082867
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Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze
Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018
On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...
Persistent link: https://www.econbiz.de/10011875647
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Short-Sale Constraints and the Pricing of Managerial Skills
Cheng, Si - 2015
We investigate the impact of the absence of short selling on the pricing of managerial skills in the mutual fund industry. In the presence of divergent opinions regarding managerial skills, fund managers can strategically use fees to attract only the most optimistic capital. The recognition of...
Persistent link: https://www.econbiz.de/10013036649
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Profitable Price Impact : The Case of Convertible Bond Arbitrage
Nozari, Milad - 2020
We investigate a potential source of profit to convertible bond arbitrageurs that is new to the literature: anticipatory hedging in advance of convertible bond issues. When the reference stock price in a bond contract is determined after a new issue is announced, anticipatory short selling in...
Persistent link: https://www.econbiz.de/10012848461
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Short Selling Around Corporate Acquisitions
Doukas, John A. - 2010
Using daily short sale transactions data for firms traded in the Taiwan Stock Exchange (TWSE) from January 1991 to January 2007, we examine the pattern of short selling trading prior to 338 acquisition announcements. Consistent with the view that short sellers act as informed traders, we find...
Persistent link: https://www.econbiz.de/10013139762
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Liquidity, Systemic Risk, and the Bankruptcy Treatment of Financial Contracts
Mokal, Riz - 2016
Persistent link: https://www.econbiz.de/10013002918
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Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low Risk Anomaly
Baker, Malcolm P. - 2015
Traditional capital structure theory predicts that reducing banks' leverage reduces the risk and cost of equity but …
Persistent link: https://www.econbiz.de/10013026425
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Disappearing Call Delay and Dividend-Protected Convertible Bonds
Grundy, Bruce D. - 2015
Firms have not historically called their convertible bonds as soon as conversion could be forced. A number of explanations for the delay rely on the size of the dividends that bondholders forgo so long as they do not convert. We investigate an important change in convertible security design,...
Persistent link: https://www.econbiz.de/10013037149
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The Systematic Risk of Short-Sale Restrictions
Hunanyan, Gevorg - 2017
In finance literature it is known that on a financial market in which short-selling of risky assets is restricted, the market portfolio is typically not efficient (see e.g. Fama and French (2004)). This paper analyses two different kinds of regulatory policies of short-sales on financial markets...
Persistent link: https://www.econbiz.de/10012957865