Convertible arbitrageurs combine long positions in convertibles with short positions in the underlying stock. We exploit worldwide differences in short-sale constraints to examine whether convertible arbitrage short selling creates downward pressure on convertible issuers' stock prices. Using a...

This paper evaluates investment strategies that exploit the deviations from theoretical price parity in a sample of 12 dual-listed companies (DLCs) in the period 1980-2002. We show that simple trading rules produce abnormal returns of up to almost 10% per annum adjusted for systematic risk,...