Death spiral convertibles

• 成果类型: Article
• 署名作者: Hillion, P; Vermaelen, T
• 署名单位: INSEAD Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00209-5
• 发表日期: 2004
• 页码: 381-415
• 关键词: convertibles; financial innovation; anomalies; capital structure; manipulation; Short-selling

摘要

Floating-priced convertibles, known as death spirals, are privately held convertible securities with a conversion price set at a discount from the average of past stock prices in a look-back period. The issuance of floating-priced convertibles is followed by significant negative abnormal returns. The results are consistent with the faulty contract hypothesis that argues that the contract design encourages short-selling by the convertible holders and other professional short sellers. However, the results are also consistent with the last-resort financing hypothesis that argues that the stock price declines because the stock is overvalued at the time of the issue. (C) 2003 Elsevier B.V. All rights reserved.