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New evidence on market impact of convertible bond issues on United States firms

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New evidence on market impact of convertible bond issues on United States firms

Gosselin, Guillaume (2003) New evidence on market impact of convertible bond issues on United States firms. Masters thesis, Concordia University.

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Abstract

This study examines the market impact of recent convertible bonds new issues of United States listed firms. The thesis focus mainly on the market reaction surrounding the announcement dates and the issue dates of convertible bonds. The evidence suggests that firms experience negative abnormal returns around the announcement of new issues of convertible bonds. The determinants of these abnormal returns are the total market value of firms, their price-to-book ratio, the period 2000-2001 and the outstanding amount of the issues. A simulation made using convertible arbitrage strategies suggests that investor could take advantage of these negative abnormal returns by going long on the firm's convertible bond and short on the firm's stock at the issue date.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Gosselin, Guillaume
Pagination:vi, 58 leaves ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.Sc.Admin.)
Program:John Molson School of Business
Date:2003
Thesis Supervisor(s):Switzer, Lorne N
ID Code:2233
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:26
Last Modified:08 Dec 2010 10:25
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