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Convertible bond valuation and prici...

Shivers, Marc Andreas.

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Convertible bond valuation and pricing: Theory and evidence.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Convertible bond valuation and pricing: Theory and evidence./
作者:	Shivers, Marc Andreas.
面頁冊數:	75 p.
附註:	Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3365.
Contained By:	Dissertation Abstracts International64-09A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3105368

Convertible bond valuation and pricing: Theory and evidence.
Shivers, Marc Andreas.

Convertible bond valuation and pricing: Theory and evidence. - 75 p.

Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3365.

Thesis (Ph.D.)--University of California, Berkeley, 2003.

In the first part of this paper we provide a critical review of the academic literature on convertible bond pricing and valuation over the last 40 years. Specific topics include theoretical valuation methods, optimal option exercise policies, empirical research and event studies. Chapter two presents a modified Cox-Ross-Rubinstein binomial model incorporating credit risk to value convertible bonds. In Chapter three, we employ this model to investigate whether initial offerings of convertible bonds are underpriced. Using a sample of 63 offerings of convertible bonds between 1994 and 1997, we find average underpricing of 2.18%. The equity beta, size of the coupon, and percentage potential dilution are found to have significant explanatory power.Subjects--Topical Terms:

1018458
Business Administration, Banking.

Convertible bond valuation and pricing: Theory and evidence.
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500 $a Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3365.
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502 $a Thesis (Ph.D.)--University of California, Berkeley, 2003.
520 $a In the first part of this paper we provide a critical review of the academic literature on convertible bond pricing and valuation over the last 40 years. Specific topics include theoretical valuation methods, optimal option exercise policies, empirical research and event studies. Chapter two presents a modified Cox-Ross-Rubinstein binomial model incorporating credit risk to value convertible bonds. In Chapter three, we employ this model to investigate whether initial offerings of convertible bonds are underpriced. Using a sample of 63 offerings of convertible bonds between 1994 and 1997, we find average underpricing of 2.18%. The equity beta, size of the coupon, and percentage potential dilution are found to have significant explanatory power.
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