Analyzing interactive call, default, and conversion policies for corporate bonds

Liang Chih Liu*, Tian Shyr Dai, Lei Zhou, Hao Han Chang

*此作品的通信作者

研究成果: Article同行評審

摘要

This paper studies the timings of interactive call and conversion decisions made by bond issuers and holders, respectively, due to the presence of different embedded options. We develop a risk-neutral-valuation-based game option model featuring bondholder–stockholder conflicts of interest. The presence of conversion (call) options possessed by the bondholders (issuers) accelerates the call (conversion) decisions. Granting bondholders additional put options further hastens call decisions and hence conversion decisions in response to call accelerations. Our empirical studies are consistent with past call policy research and support our interactive exercise analyses that explain the rationales behind early call and conversion phenomena.

原文English
頁(從 - 到)1597-1638
頁數42
期刊Journal of Futures Markets
42
發行號8
DOIs
出版狀態Published - 8月 2022

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