Short sales, price pressure, and the stock price response to convertible bond calls

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Short sales, price pressure, and the stock price response to convertible bond calls

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dc.contributor.author Bechmann, Ken en_US
dc.date.accessioned 2009-02-04T10:26:17Z
dc.date.available 2009-02-04T10:26:17Z
dc.date.issued 2004-01-23T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/7165
dc.description.abstract The announcement of a convertible bond call is associated with an average con- temporaneous abnormal stock price decline of 1.75% and an ensuing price recovery in the conversion period. A price fall and the subsequent recovery suggest price pressure as the explanation for the announcement eect. However, in a perfect capital market the option to convert is not exercised early and hence, the increase in the number of shares outstanding does not occur at the announcement date. Instead, this paper ar- gues and provides evidence that hedging-induced short selling is causing at least part of the short-run price pressure. Key words: Convertible bond calls; Hedging; Short selling; Price pressure; Underwriting JEL Classication: G14; G24; G32 en_US
dc.format.extent 33 s. en_US
dc.language eng en_US
dc.relation.ispartofseries CAF Working paper;2003-164 en_US
dc.subject.other aktiekurser en_US
dc.subject.other hedging en_US
dc.subject.other convertibles en_US
dc.title Short sales, price pressure, and the stock price response to convertible bond calls en_US
dc.type wp en_US
dc.accessionstatus modt04jan23 inrumo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.corporation University of Aarhus en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI
dc.idnumber x645152098 en_US
dc.publisher.city København en_US
dc.publisher.year 2003 en_US


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