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| 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. |
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