The optimal call policy for convertible bonds: is there a market memory effect?

Veld, C. and Zabolotnyuk, Y. (2012) The optimal call policy for convertible bonds: is there a market memory effect? Applied Economics Letters, 19(7), pp. 661-664. (doi: 10.1080/13504851.2011.593494)

Abstract

This article examines the market memory effect in convertible bond markets. We look at the pricing of convertible bonds issued after the original issuer redeemed previous issues without giving an opportunity for investors to benefit from bond value appreciation. We find evidence that the market underprices new convertible bond issues of firms that called their previous convertible bonds early compared with new convertibles bonds of firms that called their previous convertibles late.

• Item Type: Articles
• Additional Information: This is an Author's Original Manuscript of an article whose final and definitive form, the Version of Record, has been published in the Applied Economics Letters 2012 copyright Taylor and Francis, available online at: http://www.tandfonline.com/10.1080/13504851.2011.593494.
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Veld, Professor Chris
• Authors: Veld, C., and Zabolotnyuk, Y.
• College/School: College of Social Sciences > Adam Smith Business School > Accounting and Finance
• Journal Name: Applied Economics Letters
• Publisher: Taylor and Francis
• ISSN: 1350-4851
• ISSN (Online): 1466-4291
• Published Online: 25 July 2011
• Copyright Holders: Copyright © 2012 Taylor and Francis
• First Published: First published in Applied Economics Letters 19(7):661-664
• Publisher Policy: Reproduced in accordance with the copyright policy of the publisher