Background and Empirical Predictions -- The Event Study Methodology -- Data, Full Sample and Variable Construction -- Difference in Abnormal Short Selling Activity Following Events of Large Positive Stock Price Changes -- Difference in Information Content of Extreme Short Selling Activity Events...

While convertible offerings announced between 1984 and 1999 induce average abnormal stock returns of −1.69%, convertible announcement effects over the period 2000 to 2008 are more than twice as negative (−4.59%). We hypothesize that this evolution is attributable to a shift in the...