Earticle

초록

영어

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

Abstract
 Ⅰ. Introduction
 Ⅱ. Background
  1. Convertible Bond Arbitrage
  2. Short Selling
 Ⅲ. Data
  1. Sample Construction
  2. Other Data Sources
 Ⅳ. Is there a Convertible Bond Arbitrage Strategy?
  1. Existence of Convertible Bond Arbitrage
  2. Who Conduct the Convertible Bond Arbitrage?
  3. Intraday Patterns of Convertible Bond Arbitrage
 Ⅴ. Do Short Sales Destroy the Stock Prices?
  1. Cumulative Abnormal Returns (CARs) around Convertible Bond Issues
  2. T-Test for Short-Sales Sample v.s. Non-Short Sales Control Firms
  3. Regression Analysis of Controlled Sample
  4. Regression Analysis of All Convertible Bond Issue Firms
  5. Robustness Checks
 Ⅵ. Conclusion
 References

키워드

저자

• Hyuk Choe [ Professor, College of Business Administration, Seoul National University ]
• Cheol-Won Yang [ Assistant Professor, School of Business Administration, Dankook University ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330