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Convertible Bond Underpricing : Renegotiable Covenants, Seasoning and Convergence
http://hdl.handle.net/2261/2712
http://hdl.handle.net/2261/2712ee55bb7c-c2ed-4ae7-ae37-cd0c6308462f
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | Convertible Bond Underpricing : Renegotiable Covenants, Seasoning and Convergence | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | convertible bond | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | credit risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | valuation | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Chan, Alex W.H.
× Chan, Alex W.H.× Nai-fu, Chen |
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| 著者所属 | ||||||
| 著者所属 | The University of Hongkong | |||||
| 著者所属 | ||||||
| 著者所属 | Center for Advanced Research in Finance, University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | University of California, Irvine | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | We investigate the long-standing puzzle on the underpricings of convertible bonds. We hypothesize that the observed underpricing is induced by the possibility that a convertible bond might renegotiate on some of its covenants, e.g., an imbedded put option, in financial difficulties. Consistent with our hypothesis, we find that the initial underpricing is larger for lower rated bonds. The underpricing worsens if the issuer experiences subsequent financial difficulties. However, conditional on no rating downgrades, our main empirical result shows that convertible bond prices do converge to their theoretical prices within two years. This seasoning period is shorter for higher rated convertible bonds. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-437, 発行日 2006-09 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| その他のキーワード | ||||||
| JEL Classification Numbers: G12, G13, G14 | ||||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf437ab.html | |||||
