Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Contingent convertible bonds: Optimal call strategy and the impact of refinancing. (2022). Rossmann, Philipp ; Koziol, Christian.
In: Journal of Corporate Finance.
RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001201.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 47

References cited by this document

Cocites: 24

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Asquith, P. Convertible bonds are not called late. 1995 J. Finance. 50 1275-1289

  2. Asquith, P. ; Mullins, D. Convertible debt: Corporate call policy and voluntary conversion. 1991 J. Finance. 46 1273-1289

  3. Avdjiev, S. ; Bogdanova, B. ; Bolton, P. ; Jiang, W. ; Kartasheva, A. CoCo issuance and bank fragility. 2020 J. Financ. Econ.. 138 593-613

  4. Avdjiev, S. ; Kartasheva, A. ; Bogdanova, B. CoCos: a primer. 2013 BIS Q. Rev.. -
    Paper not yet in RePEc: Add citation now
  5. Bechmann, K.L. ; Lunde, A. ; Zebedee, A.A. In- and out-of-the-money convertible bond calls: Signaling or price pressure?. 2014 J. Corp. Finance. 24 135-148

  6. Berg, T. ; Kaserer, C. Does contingent capital induce excessive risk-taking?. 2015 Sonderforschungsbereich/ Transregio 15 - Governance and the Efficiency of Economic Systems (GESY), München:

  7. Brennan, M. ; Schwartz, E.S. Convertible bonds: Valuation and optimal strategies for call and conversion. 1977 J. Finance. 32 1699-1715

  8. Bühler, W., Koziol, C., 2004. Calling Convertible Bonds Too Late Can Be Rational. EFA 2004 Maastricht Meetings Paper No. 4355.
    Paper not yet in RePEc: Add citation now
  9. Butler, A.W. Revisiting optimal call policy for convertibles. 2002 Financ. Anal. J.. 58 50-55
    Paper not yet in RePEc: Add citation now
  10. Cheridito, P. ; Xu, Z. A Reduced Form CoCo Model with Deterministic Conversion Intensity. 2014 Princeton University:
    Paper not yet in RePEc: Add citation now
  11. Constantinides, G. ; Grundy, B. Call and Conversion of Convertible Corporate Bonds: Theory and Evidence. 1987 Center for Research in Security Prices, Graduate School of Business, University of Chicago:
    Paper not yet in RePEc: Add citation now
  12. Cowan, A.R. ; Nayar, N. ; Singh, A.K. Calls of out-of-the-money convertible bonds. 1993 Financial Manag.. 22 106-116

  13. Cowan, A.R. ; Nayar, N. ; Singh, A.K. Underwriting and calls of convertible bonds. 2000 Decis. Sci.. 31 57-77
    Paper not yet in RePEc: Add citation now
  14. Crummenerl, M. ; Koziol, C. Bank financing with structured products - how to make contingent convertibles work. 2014 Die Unternehmung - Swiss J. Bus. Res. Prac.. 68 108-128

  15. De Spiegeleer, J. ; Schoutens, W. CoCo bonds with extension risk. 2014 Wilmott. 2014 78-91
    Paper not yet in RePEc: Add citation now
  16. De Spiegeleer, J. ; Schoutens, W. Pricing contingent convertibles: A derivatives approach. 2012 J. Deriv.. 20 27-36
    Paper not yet in RePEc: Add citation now
  17. Dixit, A. . 1993 En : The Art of Smooth Pasting. Harwood Academic Publishers:
    Paper not yet in RePEc: Add citation now
  18. Dumas, B. Super contact and related optimality conditions. 1991 J. Econom. Dynam. Control. 15 675-685

  19. Ederington, L.H. ; Caton, G.L. ; Campbell, C.J. To call or not to call convertible debt. 1997 Financ. Manag.. 26 22-31

  20. Fajardo, J. ; Corcuera, J. ; Scoutens, W. ; Valdivia, A. CoCos with extension risk: A structural approach. 2014 SSRN Electron. J.. -
    Paper not yet in RePEc: Add citation now
  21. Flannery, M.J. Stabilizing large financial institutions with contingent capital certificates. 2016 Q. J. Finance. 06 -

  22. Glasserman, P. ; Nouri, B. Contingent capital with a capital-ratio trigger. 2012 Manage. Sci.. 58 1816-1833

  23. Grundy, B.D. ; Verwijmeren, P. Disappearing call delay and dividend-protected convertible bonds. 2016 J. Finance. 71 195-224

  24. Harris, M. ; Raviv, A. A sequential signalling model of convertible debt call policy. 1985 J. Finance. 40 1263-1281

  25. Hilscher, J. ; Raviv, A. Bank stability and market discipline: The effect of contingent capital on risk taking and default probability. 2014 J. Corp. Finance. 29 542-560

  26. Ingersoll, J. A contingent-claims valuation of convertible securities. 1977 J. Financ. Econ.. 4 289-321

  27. Ingersoll, J. An examination of corporate call policies on convertible securities. 1977 J. Finance. 32 463-478

  28. Jaffee, D. ; Shleifer, A. Costs of financial distress, delayed calls of convertible bonds, and the role of investment banks. 1990 J. Bus.. 63 107-123

  29. Jensen, M.V. ; Pedersen, L.H. Early option exercise: Never say never. 2016 J. Financ. Econ.. 121 278-299

  30. King, T.-H.D. ; Mauer, D.C. Determinants of corporate call policy for convertible bonds. 2014 J. Corp. Finance. 24 112-134

  31. Koziol, C. ; Lawrenz, J. Contingent convertibles. Solving or seeding the next banking crisis?. 2012 J. Bank. Financ.. 36 90-104

  32. Koziol, C. ; Theis, M. Who should merge with whom? Financial benefits and costs from mergers and acquisitions. 2011 Credit Cap. Mark.. 44 393-417
    Paper not yet in RePEc: Add citation now
  33. Koziol, C. ; Weitz, S. Does model complexity improve pricing accuracy? The case of cocos. 2021 Rev. Deriv. Res.. 24 261-284

  34. Leland, H. Corporate debt value, bond covenants, and optimal capital structure. 1994 J. Finance. 49 1213-1252

  35. Leung, C.M. ; Kwok, Y.K. Numerical pricing of coco bonds with parisian trigger feature using the fortet method. 2017 Int. J. Theor. Appl. Finance (IJTAF). 20 1-22

  36. McDonald, R.L. Contingent capital with a dual price trigger. 2013 J. Financial Stab.. 9 230-241

  37. Mehran, H. ; Rosenberg, J.V. The effect of employee stock options on bank investment choice, borrowing, and capital. 2007 Federal Reserve Bank of New York:

  38. Merton, R. On the pricing of corporate debt: The risk structure of interest rates. 1974 J. Finance. 29 449-470

  39. Nigbur, T. Calls of convertible debt securities: no bad news at all. 2015 Financial Mark. Portfolio Manag.. 29 61-79

  40. Pennacchi, G. A structural model of contingent bank capital. 2010 Federal Reserve Bank of Cleveland:

  41. Pennacchi, G. ; Tchistyi, A. Contingent convertibles with stock price triggers: The case of perpetuities. 2019 Rev. Financ. Stud.. 32 2302-2340

  42. Rastad, M. Capital structure pre-balancing: Evidence from convertible bonds. 2016 J. Corp. Finance. 41 43-65

  43. Sarkar, S. Early and late calls of convertible bonds: Theory and evidence. 2003 J. Bank. Financ.. 27 1349-1374

  44. Squam Lake Working Group, T. The Squam Lake Report. Fixing the Financial System. 2010 Princeton University Press: Princeton
    Paper not yet in RePEc: Add citation now
  45. Su, X. ; Bai, M. First-passage time model driven by levy process for pricing cocos. 2017 Math. Probl. Eng.. -

  46. Sundaresan, S. ; Wang, Z. On the design of contingent capital with a market trigger. 2015 J. Finance. 70 881-920

  47. Tian, W. Callable contingent capital: Valuation and default risk. 2018 Manage. Sci.. 64 112-130

Cocites

Documents in RePEc which have cited the same bibliography

  1. Contingent convertible bonds: Optimal call strategy and the impact of refinancing. (2022). Rossmann, Philipp ; Koziol, Christian.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001201.

    Full description at Econpapers || Download paper

  2. Capital structure pre-balancing: Evidence from convertible bonds. (2016). Rastad, Mahdi.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:41:y:2016:i:c:p:43-65.

    Full description at Econpapers || Download paper

  3. Convertible bond valuation in a jump diffusion setting with stochastic interest rates. (2015). Ballotta, Laura ; Kyriakou, Ioannis.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:1:p:115-129.

    Full description at Econpapers || Download paper

  4. Asymmetric information and conversion price reset policy: The case of Chinese convertible debt. (2015). Martin, Darius ; Zhang, Yongli ; Qiu, Junfeng.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:12:y:2015:i:2:p:133-141.

    Full description at Econpapers || Download paper

  5. Valuing convertible bonds and the option to exchange bonds for stock. (2015). Finnerty, John D..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:31:y:2015:i:c:p:91-115.

    Full description at Econpapers || Download paper

  6. Determinants of corporate call policy for convertible bonds. (2014). Mauer, David C. ; King, Tao-Hsien Dolly .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:24:y:2014:i:c:p:112-134.

    Full description at Econpapers || Download paper

  7. CONVERTIBLE BOND PRICING MODELS. (2014). Batten, Jonathan ; Young, Martin R. ; Khaw, Karren Lee-Hwei.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:28:y:2014:i:5:p:775-803.

    Full description at Econpapers || Download paper

  8. Dividend-Protected Convertible Bonds and the Disappearance. (2012). Grundy, Bruce D. ; Verwijmeren, Patrick.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120060.

    Full description at Econpapers || Download paper

  9. The role of time value in convertible bond call policy. (2012). Barbi, Massimiliano ; Bajo, Emanuele.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:2:p:550-563.

    Full description at Econpapers || Download paper

  10. Agency Effects in the Convertible Debt Puzzle: An Empirical Investigation. (2011). Ramirez, Gabriel ; Díaz, Fernando ; Martell, Rodolfo .
    In: Working Papers.
    RePEc:ptl:wpaper:26.

    Full description at Econpapers || Download paper

  11. Convertible security design and contract innovation. (2011). Lewis, Craig M. ; Verwijmeren, Patrick.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:17:y:2011:i:4:p:809-831.

    Full description at Econpapers || Download paper

  12. Convertible bond arbitrage, liquidity externalities, and stock prices. (2009). Choi, Darwin ; Getmansky, Mila ; Tookes, Heather .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:2:p:227-251.

    Full description at Econpapers || Download paper

  13. Private placements of convertible securities: stock returns, operating performance and abnormal accruals. (2009). Tang, Alex P. ; Williams, Jan L..
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:49:y:2009:i:4:p:873-899.

    Full description at Econpapers || Download paper

  14. Valuation of the Firms Liabilities When Equity Holders Are Also Creditors. (2007). Realdon, Marco.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:34:y:2007:i:5-6:p:950-975.

    Full description at Econpapers || Download paper

  15. Valuation of the Firms Liabilities when Equity Holders are also Creditors. (2006). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:06/16.

    Full description at Econpapers || Download paper

  16. Optimal policies of call with notice period requirement. (2005). Dai, Min.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:12:y:2005:i:4:p:353-373.

    Full description at Econpapers || Download paper

  17. Are they still called late? The effect of notice period on calls of convertible bonds. (2005). Butler, Alexander ; Altintig, Ayca Z..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:11:y:2005:i:1-2:p:337-350.

    Full description at Econpapers || Download paper

  18. An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds. (2004). Yigibasioglu, Ali Bora ; Alexandra, Carol.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2004-07.

    Full description at Econpapers || Download paper

  19. Early and late calls of convertible bonds: Theory and evidence. (2003). Sarkar, Sudipto.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:7:p:1349-1374.

    Full description at Econpapers || Download paper

  20. The market for callable-convertible bonds: Evidence from Japan. (2002). Kalay, Avner ; Kato, Hideaki Kiyoshi ; Greiner, Daniel.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:10:y:2002:i:1:p:1-27.

    Full description at Econpapers || Download paper

  21. ISLAMIC QUASI EQUITY (DEBT) INSTRUMENTS AND THE CHALLENGES OF BALANCE SHEET HEDGING: AN EXPLORATORY ANALYSIS. (2000). Khan, Tariqullah.
    In: Islamic Economic Studies.
    RePEc:ris:isecst:0085.

    Full description at Econpapers || Download paper

  22. Effects of Callable Feature on Early Exercise Policy. (2000). Kwok, Yue ; Wu, Lixin.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:4:y:2000:i:2:p:189-211.

    Full description at Econpapers || Download paper

  23. Duration and convexity of zero-coupon convertible bonds. (1999). Sarkar, Sudipto.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:51:y:1999:i:2:p:175-192.

    Full description at Econpapers || Download paper

  24. Agency Problems, Information Asymmetries, and Convertible Debt Security Design. (1998). Lewis, Craig M. ; Rogalski, Richard J. ; Seward, James K..
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:7:y:1998:i:1:p:32-59.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-22 06:40:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.