search query: @indexterm market conditions / total: 111
reference: 15 / 111
Author: | Ammann, M. Kind, A. Wilde, C. |
Title: | Are convertible bonds underpriced? An analysis of the French market |
Journal: | Journal of Banking and Finance
2003 : APR, VOL. 27:4, p. 635-653 |
Index terms: | Convertible bonds Pricing Market conditions France |
Freeterms: | Derivatives |
Language: | eng |
Abstract: | The empirical analysis shows that the theoretical values for the analyzed convertible bonds are an average more than 3% higher than the observed market prices. The difference between market and model prices is greater for out-of-the-money convertibles. A partition of the sample according to maturity indicates that there is a positive relationship between underpricing and maturity with decreasing mispricing for bonds with shorter time to maturity. |
SCIMA