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Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds

  • Scruggs, John T.
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-4KSVFYH-2/2/28af3f9f5ac2a2f3535d1e9d2bda9ad7
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 14 (2007)
    Issue (Month): 2 (March)
    Pages: 220-247

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    Handle: RePEc:eee:empfin:v:14:y:2007:i:2:p:220-247
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    1. Chib, Siddhartha & Hamilton, Barton H., 2000. "Bayesian analysis of cross-section and clustered data treatment models," Journal of Econometrics, Elsevier, vol. 97(1), pages 25-50, July.
    2. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    3. Brennan, M J & Schwartz, Eduardo S, 1977. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance, American Finance Association, vol. 32(5), pages 1699-1715, December.
    4. Acharya, Sankarshan, 1988. " A Generalized Econometric Model and Tests of a Signalling Hypothesis with Two Discrete Signals," Journal of Finance, American Finance Association, vol. 43(2), pages 413-29, June.
    5. Lee, Lung-Fei, 1979. "Identification and Estimation in Binary Choice Models with Limited (Censored) Dependent Variables," Econometrica, Econometric Society, vol. 47(4), pages 977-96, July.
    6. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    7. Singh, Ajai K. & Cowan, Arnold R. & Nayar, Nandkumar, 1991. "Underwritten calls of convertible bonds," Journal of Financial Economics, Elsevier, vol. 29(1), pages 173-196, March.
    8. Acharya, Sankarshan, 1993. " Value of Latent Information: Alternative Event Study Methods," Journal of Finance, American Finance Association, vol. 48(1), pages 363-85, March.
    9. Ingersoll, Jonathan E, Jr, 1977. "An Examination of Corporate Call Policies on Convertible Securities," Journal of Finance, American Finance Association, vol. 32(2), pages 463-78, May.
    10. Nagpurnanand R. Prabhala, 1997. "Conditional Methods in Event-Studies and an Equilibrium Justification for Standard Event-Study Procedures," Yale School of Management Working Papers ysm55, Yale School of Management.
    11. Eckbo, B Espen & Maksimovic, Vojislav & Williams, Joseph, 1990. "Consistent Estimation of Cross-Sectional Models in Event Studies," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 343-65.
    12. Jaffee, Dwight & Shleifer, Andrei, 1990. "Costs of Financial Distress, Delayed Calls of Convertible Bonds, and the Role of Investment Banks," The Journal of Business, University of Chicago Press, vol. 63(1), pages S107-23, January.
    13. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    14. Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, EconWPA, revised 24 Oct 1994.
    15. Harris, Milton & Raviv, Artur, 1985. " A Sequential Signalling Model of Convertible Debt Call Policy," Journal of Finance, American Finance Association, vol. 40(5), pages 1263-81, December.
    16. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
    17. Ofer, Aharon R. & Natarajan, Ashok, 1987. "Convertible call policies : An empirical analysis of an information-signaling hypothesis," Journal of Financial Economics, Elsevier, vol. 19(1), pages 91-108, September.
    18. Ederington, Louis H & Goh, Jeremy C, 2001. "Is a Convertible Bond Call Really Bad News?," The Journal of Business, University of Chicago Press, vol. 74(3), pages 459-76, July.
    19. Datta, Sudip & Iskandar-Datta, Mai, 1996. "New Evidence on the Valuation Effects of Convertible Bond Calls," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(02), pages 295-307, June.
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