Title: The Effect of Embedded Options on the Financial Performance of Convertible Bond Funds
Abstract: This study is the first to analyze the pricing of convertible bonds by examining the financial performance of open-end convertible bond funds. The findings indicate that (1) in general, convertible bonds did not outperform straight low-grade corporate bonds during the study period, January 1962 through September 1994; (2) convertible bonds are significantly more equitylike and significantly less bondlike than low-grade bonds; and (3) convertible bonds display a strong January effect. The results suggest that the equity call option embedded in convertible bonds was appropriately priced during the study period.
Publication Year: 1996
Publication Date: 1996-01-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 14
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