Valuation of Convertible Bonds when Investors Act Strategically
Diss. With a Forew. by Wolfgang Bühler
(Sprache: Englisch)
Convertible bonds are interest bearing securities that can be converted into stocks. Therefore, the investors' strategy is a fundamental pricing factor. It is particularly important whether a firm has debt outstanding in addition to convertible bonds and...
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Convertible bonds are interest bearing securities that can be converted into stocks. Therefore, the investors' strategy is a fundamental pricing factor. It is particularly important whether a firm has debt outstanding in addition to convertible bonds and stocks, because the conversion decision results in a wealth transfer between debt and stock holders.Christian Koziol analyzes conversion strategies and the related values of stocks and convertible bonds when firms have additional debt outstanding. For this purpose, he applies a multi period framework in the presence of both firm value and interest rate uncertainty. He shows that various conversion strategies can be optimal, which result in different values for stocks and convertible bonds, depending on the underlying conversion variant, i.e. monopolistic conversion, perfect competition, or block conversion. A comparative static analysis examines the differences between the properties of the optimal conversion strategies and between the asset values for the three conversion variants. One of the - partly surprising - results is that the convertible bond value is highest under monopolist conversion and that the value under block conversion is lower than under perfect competition.
Inhaltsverzeichnis zu „Valuation of Convertible Bonds when Investors Act Strategically “
- Convertible bonds: markets, motives, and traditional valuation - General framework for the analysis of convertible bonds
- Optimal conversion strategies and valuation of convertible bonds at and before maturity
- Comparison of the results of three conversion variants -
- Optimal conversion strategies and valuation of convertible bonds in a multiperiod framework
Autoren-Porträt von Christian Koziol
Dr. Christian Koziol ist wissenschaftlicher Assistent bei Prof. Dr. Dr. h.c. Wolfgang Bühler am Lehrstuhl für Finanzierung der Universität Mannheim.
Bibliographische Angaben
- Autor: Christian Koziol
- 2004, Softcover reprint of the original 1st ed. 2004, 200 Seiten, 43 Abbildungen, Maße: 14,8 x 21 cm, Kartoniert (TB), Englisch
- Verlag: Deutscher Universitätsverlag
- ISBN-10: 382449132X
- ISBN-13: 9783824491322
- Erscheinungsdatum: 30.03.2004
Sprache:
Englisch
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