Article citationsMore>>

Choi, D., Getmansky, M. and Tookes, H. (2009) Convertible Bond Arbitrage, Liquidity Externalities, and Stock Prices. Journal of Financial Economics, 91, 227-251.

has been cited by the following article:

• TITLE: Dynamic Arbitrageurs’ Long-Run Impacts on Convertible Bond Issuers’ Stock Prices

  AUTHORS: Serhat Yildiz

  KEYWORDS: Convertible Bond, Stock Prices

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.9, June 12, 2018

  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.