IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v27y2003i7p1349-1374.html
   My bibliography  Save this article

Early and late calls of convertible bonds: Theory and evidence

Author

Listed:
  • Sarkar, Sudipto

Abstract

No abstract is available for this item.

Suggested Citation

  • Sarkar, Sudipto, 2003. "Early and late calls of convertible bonds: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1349-1374, July.
    • Handle: RePEc:eee:jbfina:v:27:y:2003:i:7:p:1349-1374
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(02)00260-1
    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. 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.
    2. Mikkelson, Wayne H., 1981. "Convertible calls and security returns," Journal of Financial Economics, Elsevier, vol. 9(3), pages 237-264, September.
    3. Lewellen, Wilbur G. & Mauer, David C., 1988. "Tax Options and Corporate Capital Structures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(4), pages 387-400, December.
    4. Rosengren, Eric S, 1993. "Defaults of Original Issue High-Yield Convertible Bonds," Journal of Finance, American Finance Association, vol. 48(1), pages 345-362, March.
    5. Mann, Steven V. & Moore, William T. & Ramanlal, Pradipkumar, 1999. "Timing of Convertible Debt Issues," Journal of Business Research, Elsevier, vol. 45(1), pages 101-105, May.
    6. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    7. King, Tao-Hsien Dolly & Mauer, David C, 2000. "Corporate Call Policy for Nonconvertible Bonds," The Journal of Business, University of Chicago Press, vol. 73(3), pages 403-444, July.
    8. Leland, Hayne E, 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-1252, September.
    9. Ingersoll, Jonathan Jr., 1977. "A contingent-claims valuation of convertible securities," Journal of Financial Economics, Elsevier, vol. 4(3), pages 289-321, May.
    10. 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.
    11. Asquith, Paul & Mullins, David W, Jr, 1991. "Convertible Debt: Corporate Call Policy and Voluntary Conversion," Journal of Finance, American Finance Association, vol. 46(4), pages 1273-1289, September.
    12. Stein, Jeremy C., 1992. "Convertible bonds as backdoor equity financing," Journal of Financial Economics, Elsevier, vol. 32(1), pages 3-21, August.
    13. Indro, Daniel C. & Leach, Robert T. & Lee, Wayne Y., 1999. "Sources of gains to shareholders from bankruptcy resolution," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 21-47, January.
    14. Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 907-929, November.
    15. Arnold R. Cowan & Nandkumar Nayar & Ajai K. Singh, 1993. "Calls of Out-of-the-Money Convertible Bonds," Financial Management, Financial Management Association, vol. 22(4), Winter.
    16. Graham, John R., 1996. "Debt and the marginal tax rate," Journal of Financial Economics, Elsevier, vol. 41(1), pages 41-73, May.
    17. Mauer, David C & Lewellen, Wilbur G, 1987. "Debt Management under Corporate and Personal Taxation," Journal of Finance, American Finance Association, vol. 42(5), pages 1275-1291, December.
    18. Kish, Richard J. & Livingston, Miles, 1992. "Determinants of the call option on corporate bonds," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 687-703, August.
    19. Avinash Dixit, 1989. "Hysteresis, Import Penetration, and Exchange Rate Pass-Through," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 205-228.
    20. Louis H. Ederington & Gary L. Caton & Cynthia J. Campbell, 1997. "To Call or Not To Call Convertible Debt," Financial Management, Financial Management Association, vol. 26(1), Spring.
    21. Mauer, David C. & Lewellen, Wilbur G., 1990. "Securityholder Taxes and Corporate Restructurings," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 341-360, September.
    22. David C. Mauer, 1993. "Optimal Bond Call Policies Under Transactions Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(1), pages 23-37, March.
    23. Graham, John R., 1996. "Proxies for the corporate marginal tax rate," Journal of Financial Economics, Elsevier, vol. 42(2), pages 187-221, October.
    24. Asquith, Paul, 1995. "Convertible Bonds Are Not Called Late," Journal of Finance, American Finance Association, vol. 50(4), pages 1275-1289, September.
    25. 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.
    26. Vu, Joseph D., 1986. "An empirical investigation of calls of non-convertible bonds," Journal of Financial Economics, Elsevier, vol. 16(2), pages 235-265, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. King, Tao-Hsien Dolly & Mauer, David C., 2014. "Determinants of corporate call policy for convertible bonds," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 112-134.
    2. Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
    3. Deanna Burgess & Adrian Valencia & Ara Volkan, 2019. "Accounting For Convertible Bonds: Current Practices And Proposed Changes," Accounting & Taxation, The Institute for Business and Finance Research, vol. 11(1), pages 21-34.
    4. Manish Tewari & Pradipkumar Ramanlal, 2022. "Risk Management and Agency Theory: Role of the Put Option in Corporate Bonds," JRFM, MDPI, vol. 15(2), pages 1-28, January.
    5. Egami, Masahiko, 2010. "A game options approach to the investment problem with convertible debt financing," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1456-1470, August.
    6. Fenech Jean-Pierre & Fang Victor & Brown Rob, 2016. "How Accurately Can Convertibles be Classified as Debt or Equity for Tax Purposes? Evidence from Australia," Review of Law & Economics, De Gruyter, vol. 12(1), pages 153-164, March.
    7. Koziol, Christian & Roßmann, Philipp, 2022. "Contingent convertible bonds: Optimal call strategy and the impact of refinancing," Journal of Corporate Finance, Elsevier, vol. 77(C).
    8. Liang‐Chih Liu & Tian‐Shyr Dai & Lei Zhou & Hao‐Han Chang, 2022. "Analyzing interactive call, default, and conversion policies for corporate bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1597-1638, August.
    9. Bechmann, Ken L. & Lunde, Asger & Zebedee, Allan A., 2014. "In- and out-of-the-money convertible bond calls: Signaling or price pressure?," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 135-148.
    10. Yagi, Kyoko & Takashima, Ryuta, 2012. "The impact of convertible debt financing on investment timing," Economic Modelling, Elsevier, vol. 29(6), pages 2407-2416.
    11. Bajo, Emanuele & Barbi, Massimiliano, 2012. "The role of time value in convertible bond call policy," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 550-563.
    12. Tian‐Shyr Dai & Chen‐Chiang Fan & Liang‐Chih Liu & Chuan‐Ju Wang & Jr‐Yan Wang, 2022. "A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2103-2134, December.
    13. Christian Koziol & Sebastian Weitz, 2021. "Does model complexity improve pricing accuracy? The case of CoCos," Review of Derivatives Research, Springer, vol. 24(3), pages 261-284, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. King, Tao-Hsien Dolly & Mauer, David C., 2014. "Determinants of corporate call policy for convertible bonds," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 112-134.
    2. Bajo, Emanuele & Barbi, Massimiliano, 2012. "The role of time value in convertible bond call policy," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 550-563.
    3. Koziol, Christian & Roßmann, Philipp, 2022. "Contingent convertible bonds: Optimal call strategy and the impact of refinancing," Journal of Corporate Finance, Elsevier, vol. 77(C).
    4. Bruce D. Grundy & Patrick Verwijmeren, 2012. "Dividend-Protected Convertible Bonds and the Disappearance," Tinbergen Institute Discussion Papers 12-060/2/DSF37, Tinbergen Institute.
    5. Finnerty, John D., 2015. "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 91-115.
    6. Fernando Díaz & Rodolfo Martell & Gabriel Ramírez, 2011. "Agency Effects in the Convertible Debt Puzzle: An Empirical Investigation," Working Papers 26, Facultad de Economía y Empresa, Universidad Diego Portales.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    8. Stein, Jeremy C., 1992. "Convertible bonds as backdoor equity financing," Journal of Financial Economics, Elsevier, vol. 32(1), pages 3-21, August.
    9. Altintig, Z. Ayca & Butler, Alexander W., 2005. "Are they still called late? The effect of notice period on calls of convertible bonds," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 337-350, March.
    10. Asquith, Paul, 1948-, 1992. "Convertible debt--a dynamic test of call policy," Working papers 3413-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. Adoukonou, Olivier & André, Florence & Viviani, Jean-Laurent, 2021. "The determinants of the convertible bonds call policy of Western European companies," International Review of Financial Analysis, Elsevier, vol. 73(C).
    12. Sarkar, Sudipto, 2001. "Probability of call and likelihood of the call feature in a corporate bond," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 505-533, March.
    13. Kim, Yong O. & Kallberg, Jarl, 1998. "Convertible calls and corporate taxes under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 19-40, January.
    14. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    15. Jalan, P. & Barone-Adesi, G., 1995. "Equity financing and corporate convertible bond policy," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 187-206, May.
    16. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    17. Tobias Nigbur, 2015. "Calls of convertible debt securities: no bad news at all," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 61-79, February.
    18. Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
    19. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
    20. Martin, Darius & Qiu, Junfeng & Zhang, Yongli, 2015. "Asymmetric information and conversion price reset policy: The case of Chinese convertible debt," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 133-141.

    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:jbfina:v:27:y:2003:i:7:p:1349-1374. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.