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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/7467
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/7467


    Title: Valuation and Optimal Strategies of Convertible Bonds
    Authors: 廖四郎;黃星華
    Liao, Szu-Lang;Huang, Hsing-Hua
    Date: 2006-09
    Issue Date: 2008-11-14 12:27:48 (UTC+8)
    Abstract: This article presents a contingent claim valuation of a callable convertible bond with the issuer’s credit risk. The optimal call, voluntary conversion, and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. This model not only incorporates tax benefits, bankruptcy costs, refunding costs, and a call notice period, but also takes account of the issuer’s debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore, calling convertible bonds too late or too early can be rational.
    Relation: Journal of Futures Markets, 26(9), 895-922
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20219
    DOI: 10.1002/fut.20219
    Appears in Collections:[金融學系] 期刊論文

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