An announcement effect in reverse? Evidence from cash‐settled convertible bonds

Stefano Gatti, Ulrich Sperl
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Abstract

We analyze the trading activity of underlying shares at the maturity of convertible bonds with cash‐settlement provisions. Our findings indicate that arbitrageurs and option dealers engage in systematic trading that leads to an increase in trading volumes and changes in the level of short interest in the affected underlying equities. We find significantly positive abnormal returns for the affected stocks if convertible bond‐related trading is not contaminated by opposing option‐related flows. This finding supports the notion that arbitrageurs can create a substantial market impact on shares underlying convertible bonds even without any relevant news dissemination.
反向公告效应?现金结算可转换债券的证据
我们分析了附带现金结算条款的可转换债券到期时相关股票的交易活动。我们的研究结果表明,套利者和期权交易商进行的系统性交易会导致交易量的增加和受影响相关股票的利空水平的变化。我们发现,如果与可转债相关的交易没有受到与期权相关的对立资金流的影响,受影响股票的异常收益率会明显为正。这一发现支持了套利者即使在没有任何相关新闻传播的情况下也能对可转换债券相关股票产生巨大市场影响的观点。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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