An announcement effect in reverse? Evidence from cash‐settled convertible bonds
研究了现金结算可转换债券到期时标的股票的交易活动，发现套利者和期权交易商的系统交易导致交易量增加和空头头寸变化，且在没有期权对冲干扰时股票出现显著正异常收益。
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.