The pricing of convertible debt offerings

• 成果类型: Article
• 署名作者: Kang, JK; Lee, YW
• 署名单位: University of Rhode Island; University of California System; University of California Riverside
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00864-B
• 发表日期: 1996
• 页码: 231-248
• 关键词: convertible debt offerings; Underpricing; Estimation risk

摘要

We present the first empirical evidence on the pricing of convertible debt offerings. Using a sample of 91 convertible debt offerings from the period 1988-1992, we show a significant mean initial excess return of 1.11%. Our underpricing result is invariant to zero/nonzero coupons, maturity, issue size, or bond ratings. Further analysis reveals that various types of risk inherent in the new convertible issues are useful in explaining the cross-sectional variation in the initial excess returns. We offer an explanation for our results based on the arguments of the differential information model.