Dynamic Arbitrageurs’ Long-Run Impacts on Convertible Bond Issuers’ Stock Prices ()
ABSTRACT
I examine convertible bond arbitrageurs’
long-run impact on convertible bond issuers’ stock prices. I find a negative
relation between arbitrage activity around convertible bond issues and
convertible bond issuers’ long-run stock returns. Average three-year holding
period return of convertible bond issuers with no-arbitrage activity around
their convertible bond issues is two times larger than that of convertible bond
issuers with arbitrage activity around their convertible bond issues. Overall,
I show that convertible bond arbitrageurs’ price impact is not limited to
short-term
[1], but it also has a long-term component.
Share and Cite:
Yildiz, S. (2018) Dynamic Arbitrageurs’ Long-Run Impacts on Convertible Bond Issuers’ Stock Prices.
Theoretical Economics Letters,
8, 1553-1564. doi:
10.4236/tel.2018.89099.
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