TitleDifferential Clienteles and Convertible Bond Underpricing----An analysis of the China market
Authors张峥
唐国正
刘力
Affiliation北京大学光华管理学院
KeywordsConvertible bond%Differential Clienteles%Liquidity
Issue Date2006
Citation2006年中国国际金融年会.西安,2006/1/1.
AbstractThe underpricing of convertible bonds has been a puzzle in the finance literature. We investigate the differential clienteles and liquidity hypothesis on China convertible market using large sample analysis. The empirical study shows that the theoretical values for the analyzed convertible bonds are on average more than 10.2% higher than the observed market prices. The underpricing has significant relationship on maturity, stock turnover and stock book-to-market ratio, and the relationship between convertible bond return and stock return are weaker than theoretical prediction. All these evidences support the differential clienteles hypothesis. We could not find further evidences supporting the liquidity hypothesis.
URIhttp://hdl.handle.net/20.500.11897/322072
Appears in Collections:光华管理学院

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