Convertible arbitrage price pressure and short-sale constraints

Abe De Jong, Marie Dutordoir, Nathalie Van Genuchten, Patrick Verwijmeren

Research output: Contribution to journalArticleResearchpeer-review

11 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)70-88
Number of pages19
JournalFinancial Analysts Journal
Volume68
Issue number5
DOIs
Publication statusPublished - Sep 2012
Externally publishedYes

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