This paper integrates ambiguity into a contingent claim model for convertible debt. We study how convertible debt valuation is affected by the ambiguity biases of equity holders and debt holders and provide sensitivity analysis of the bond value to changes in attitude toward ambiguity, firm and bond parameters. Our result, which are summarized into five main predictions, are consistent with recent empirical evidence and offer a possible interpretation of some corporate finance puzzles.

Convertible debt: financing decisions and voluntary conversion under ambiguity / Agliardi, Elettra; Agliardi, Rossella; Spanjers, Willem. - In: INTERNATIONAL REVIEW OF FINANCE. - ISSN 1369-412X. - STAMPA. - 15:4(2015), pp. 599-611. [10.1111/irfi.12057]

Convertible debt: financing decisions and voluntary conversion under ambiguity

AGLIARDI, ELETTRA;AGLIARDI, ROSSELLA;
2015

Abstract

This paper integrates ambiguity into a contingent claim model for convertible debt. We study how convertible debt valuation is affected by the ambiguity biases of equity holders and debt holders and provide sensitivity analysis of the bond value to changes in attitude toward ambiguity, firm and bond parameters. Our result, which are summarized into five main predictions, are consistent with recent empirical evidence and offer a possible interpretation of some corporate finance puzzles.
2015
Convertible debt: financing decisions and voluntary conversion under ambiguity / Agliardi, Elettra; Agliardi, Rossella; Spanjers, Willem. - In: INTERNATIONAL REVIEW OF FINANCE. - ISSN 1369-412X. - STAMPA. - 15:4(2015), pp. 599-611. [10.1111/irfi.12057]
Agliardi, Elettra; Agliardi, Rossella; Spanjers, Willem
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/519602
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