Short Selling Activities and Convertible Bond Arbitrage

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Empirical Evidence from the New York Stock Exchange, ebs-Forschung, Schriftenreihe der EUROPEAN BUSINESS SCHOOL Schloß Reichartshausen 75 – GABLER RESEARCH

ISBN: 3834918865
ISBN 13: 9783834918864
Autor: Werner, Sebastian P
Verlag: Springer Gabler
Umfang: xx, 256 S.
Erscheinungsdatum: 25.06.2010
Auflage: 1/2010
Format: 1.5 x 21 x 15
Gewicht: 363 g
Produktform: Kartoniert
Einband: KT

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.

Artikelnummer: 1385039 Kategorie:

Beschreibung

InhaltsangabeMotives and Determinants of Short Selling; Role of Convertible Bond Arbitrage in Abnormal Short Selling Activity; Capturing Differences in Aggregate Short Sales of Arbitrage- versus Valuation-Based Short Selling Activities

Inhaltsverzeichnis

Motives and Determinants of Short Selling; Role of Convertible Bond Arbitrage in Abnormal Short Selling Activity; Capturing Differences in Aggregate Short Sales of Arbitrage- versus Valuation-Based Short Selling Activities

Autorenporträt

Sebastian P. Werner earned his doctoral degree from the European Business School under the supervision of Prof. Dr. Lutz Johanning and now works in equity portfolio management for a global bank based in Frankfurt.

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