Short Selling Activities and Convertible Bond Arbitrage

Empirical Evidence from the New York Stock Exchange

  • Authors
  • Sebastian P. Werner

Table of contents

  1. Front Matter
    Pages I-XX
  2. Sebastian P. Werner
    Pages 1-5
  3. Sebastian P. Werner
    Pages 7-51
  4. Sebastian P. Werner
    Pages 53-66
  5. Sebastian P. Werner
    Pages 67-77
  6. Sebastian P. Werner
    Pages 197-199
  7. Back Matter
    Pages 201-256

About this book

Introduction

While some short sales are based on information or opinions about a firm’s share price, this is not the case with many others. This statement coincides with the increasing use of arbitrage-related hedge fund strategies whereas it collides with public consensus that blames short sellers for decreasing stock prices and exacerbating the economic downturn. Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. Focusing on events of extreme stock price changes and short selling activity, he provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.

Keywords

Convertible Bond Arbitrage Empirical Finance Event study Hedge Fund Hedging Trading selling stock returns

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-8349-6003-0
  • Copyright Information Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2010
  • Publisher Name Gabler
  • eBook Packages Business and Economics
  • Print ISBN 978-3-8349-1886-4
  • Online ISBN 978-3-8349-6003-0
  • About this book