지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
This paper tests if uninformed short sales affect stock prices by examining short selling activities and stock price movements surrounding convertible bond (CB) issuance dates. We assume that short sales associated with CB arbitrage are uninformed since CB arbitrage is a hedge strategy to pursue market-neutral profits. By examining tick -by-tick data containing information on short sales as well as normal trades, we are able to extract a sample of CB arbitrage from all Korean companies which issued CBs during our sample period from January 2004 to June 2006. We find that short sales increase dramatically around the issuance dates of CBs, which clearly demonstrates the existence of CB arbitrages in Korea. Moreover, we find that the foreign investors, more likely hedge funds, are the major players of CB arbitrage. Then, we investigate the impact of uninformed short selling on stock prices. To control the announcement effect of CB issuances we use CB issuers that are not associated with short-selling activities as a control sample. We find that CB arbitrage does not reduce stock prices beyond the level that is normally affected by CB issuance without short selling. This result implies that stock market is efficient enough to absorb unexpectedly large amounts of uninformed short sales.
목차
등록된 정보가 없습니다.
참고문헌 (44)
참고문헌 신청
Admati, A. R. / 1988 / A Theory of Intraday Patterns: Volume and Price Variability / Review of Financial Studies 1:3~40
Aitken, M. J. / 1998 / Short Sales are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange / Journal of Finance 53:2205~2223
Asquith, P. / 2005 / Short Interest, Institutional Ownership, and Stock Returns / Journal of Financial Economics 78:243~276
Bechmann, K. L. / 2004 / Short Sales, Price Pressure, and the Stock Price Response to Convertible Bond Calls / Journal of Financial Markets 7:427~451
Boehmer, E. / 2008 / Which Shorts are Informed? / Journal of Finance 63:491~527
Aitken, M. J. / 1998 / Short Sales are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange / Journal of Finance 53:2205~2223
Asquith, P. / 2005 / Short Interest, Institutional Ownership, and Stock Returns / Journal of Financial Economics 78:243~276
Bechmann, K. L. / 2004 / Short Sales, Price Pressure, and the Stock Price Response to Convertible Bond Calls / Journal of Financial Markets 7:427~451
Boehmer, E. / 2008 / Which Shorts are Informed? / Journal of Finance 63:491~527
이 논문의 저자 정보
최근 본 자료
댓글(0)
0