The previous chapter outlined the empirical predictions related to the research objective of this dissertation. These predictions will be methodologically specified and empirically investigated in Chapter 5 and 6 and require the determination of firm-specific abnormal stock returns and abnormal short selling activity following events of large stock price changes and extreme short selling activity. The examinations rely on the standard event study methodology, which goes back to Fama, Fisher, Jensen, and Roll (1969). This approach takes the investigation further towards identifying convertible arbitragebased short selling from the aggregate data and distinguishing this activity from valuation- based short selling by testing for significant differences in the trading pattern, information content, and impact on stock returns. Section 3.1 through 3.5 introduce the basic steps of the methodology and thereby provide the methodological framework for the event study’s specific application within the course of the empirical investigation of this work.


Stock Return Abnormal Return Trading Volume Earning Announcement Event Window 
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© Gabler Verlag | Springer Fachmedien Wiesbaden GmbH 2010

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  • Sebastian P. Werner

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