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On the propensity to issue contingent convertible (CoCo) bonds

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  • José Fajardo
  • Layla Mendes

Abstract

In this paper, we analyze the determinants of CoCo bond issuance. We find evidence that banks that issue CoCos are typically large. Moreover, in the case of BRICS and other emerging economies, we find evidence that banks are also highly leveraged, aiming to meet the Basel III rules and replace debt with equity funding. Also, we study the strength of the regulatory component in the CoCo issuance through analysis of tax deductibility in the UK, countercyclical capital buffer, subsamples of global systemically important banks and Basel III implementation.

Suggested Citation

  • José Fajardo & Layla Mendes, 2020. "On the propensity to issue contingent convertible (CoCo) bonds," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 691-707, April.
  • Handle: RePEc:taf:quantf:v:20:y:2020:i:4:p:691-707
    DOI: 10.1080/14697688.2019.1685124
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    Cited by:

    1. Song Jiaxin, 2023. "Announcement Effect Study of Issuing Tier 2 Capital Bonds on the Stock Price of China Construction Bank," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-4.

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