REVERSE CONVERTIBLE BONDS ANALYZED

被引：24

作者：

Szymanowska, Marta ^{[1
]}

Ter Horst, Jenke ^{[2
]}

Veld, Chris ^{[3
]}

机构：

[1] Erasmus Univ, Dept Finance, Rotterdam Sch Management, NL-3000 DR Rotterdam, Netherlands

[2] Tilburg Univ, Dept Finance & Ctr, NL-5000 LE Tilburg, Netherlands

[3] Univ Stirling, Dept Accounting & Finance, Stirling FK9 4LA, Scotland

来源：

JOURNAL OF FUTURES MARKETS | 2009年 / 29卷 / 10期

关键词：

CONSTANT ELASTICITY; IMPLIED VOLATILITY; OPTIONS; MODEL;

D O I：

10.1002/fut.20397

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the pricing of reverse convertible (RC) bonds. These are bonds that carry high coupon payments. In exchange, the issuer has art option at the maturity date to either redeem the bonds in cash or to deliver a pre-specified number of, shares. We find that Dutch plain vanilla and knock-in RC bonds are, oil average, overpriced by almost 6%. This overpricing is confirmed in a model-free analysis with respect to option- and bond-pricing models. We find that rational factors explain 23% of the documented overpricing. In addition, we find that the combination of financial marketing, framing, and the representativeness bias further increases Our ability to explain the documented overpricing to more than 35%. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:895-919, 2009

引用

页码：895 / 919

页数：25

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