IDEAS home Printed from https://ideas.repec.org/a/eee/empfin/v14y2007i2p220-247.html
   My bibliography  Save this article

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

Author

Listed:
  • Scruggs, John T.

Abstract

No abstract is available for this item.

Suggested Citation

  • Scruggs, John T., 2007. "Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 220-247, March.
  • Handle: RePEc:eee:empfin:v:14:y:2007:i:2:p:220-247
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0927-5398(06)00047-8
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. 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 107-123, January.
    3. 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 413-429, June.
    4. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
    5. 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.
    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    7. Ingersoll, Jonathan E, Jr, 1977. "An Examination of Corporate Call Policies on Convertible Securities," Journal of Finance, American Finance Association, vol. 32(2), pages 463-478, May.
    8. 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.
    9. 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.
    10. 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.
    11. Lee, Lung-Fei, 1979. "Identification and Estimation in Binary Choice Models with Limited (Censored) Dependent Variables," Econometrica, Econometric Society, vol. 47(4), pages 977-996, July.
    12. Harris, Milton & Raviv, Artur, 1985. " A Sequential Signalling Model of Convertible Debt Call Policy," Journal of Finance, American Finance Association, vol. 40(5), pages 1263-1281, December.
    13. 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 459-476, July.
    14. 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.
    15. Acharya, Sankarshan, 1993. " Value of Latent Information: Alternative Event Study Methods," Journal of Finance, American Finance Association, vol. 48(1), pages 363-385, March.
    16. 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.
    17. 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.
    18. 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 343-365.
    19. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:14:y:2007:i:2:p:220-247. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jempfin .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.