TY - JOUR
T1 - Convertible arbitrage price pressure and short-sale constraints
AU - De Jong, Abe
AU - Dutordoir, Marie
AU - Van Genuchten, Nathalie
AU - Verwijmeren, Patrick
PY - 2012/9
Y1 - 2012/9
N2 - Using a sample of 4,148 convertibles issued over 1990-2009 by companies listed in 35 countries, the authors exploited worldwide differences in short-sale constraints to examine whether short selling by convertible arbitrageurs creates downward pressure on convertible issuers' stock prices. They found that short-sale constraints have a positive effect on issue-date abnormal stock returns, which suggests that a substantial part of the stock price effect of convertible issues is attributable to convertible arbitrageurs. © 2012 CFA Institute.
AB - Using a sample of 4,148 convertibles issued over 1990-2009 by companies listed in 35 countries, the authors exploited worldwide differences in short-sale constraints to examine whether short selling by convertible arbitrageurs creates downward pressure on convertible issuers' stock prices. They found that short-sale constraints have a positive effect on issue-date abnormal stock returns, which suggests that a substantial part of the stock price effect of convertible issues is attributable to convertible arbitrageurs. © 2012 CFA Institute.
U2 - 10.2469/faj.v68.n5.4
DO - 10.2469/faj.v68.n5.4
M3 - Article
SN - 1938-3312
VL - 68
SP - 70
EP - 88
JO - Financial Analysts Journal
JF - Financial Analysts Journal
IS - 5
ER -