UID:
almahu_9949285168702882
Format:
XVII, 200 p.
,
online resource.
Edition:
1st ed. 2004.
ISBN:
9783322820167
Series Statement:
Beiträge zur betriebswirtschaftlichen Forschung ; 110
Content:
Convertible bonds are interest bearing securities that can be converted into stocks. Therefore, the investors' strategy is a fundamental pricing factor. It is particularly important whether a firm has debt outstanding in addition to convertible bonds and stocks, because the conversion decision results in a wealth transfer between debt and stock holders. Christian Koziol analyzes conversion strategies and the related values of stocks and convertible bonds when firms have additional debt outstanding. For this purpose, he applies a multi period framework in the presence of both firm value and interest rate uncertainty. He shows that various conversion strategies can be optimal, which result in different values for stocks and convertible bonds, depending on the underlying conversion variant, i.e. monopolistic conversion, perfect competition, or block conversion. A comparative static analysis examines the differences between the properties of the optimal conversion strategies and between the asset values for the three conversion variants. One of the - partly surprising - results is that the convertible bond value is highest under monopolist conversion and that the value under block conversion is lower than under perfect competition.
Note:
1 Introduction -- 2 Convertible Bonds: Markets, Motives, and Traditional Valuation -- 2.1 The German Convertible Bond Market -- 2.2 Motives for the Use of Convertible Bonds -- 2.3 Valuation of Convertible Bonds -- 2.4 Analysis of Observed Conversion Volume -- 3 General Framework for the Analysis of Convertible Bonds -- 3.1 Model Framework -- 3.2 Asset Pricing in the Presence of Interest Rate and Firm Value Uncertainty -- 3.3 Basic Relations between Asset Values -- 4 Optimal Conversion Strategies and Valuation of Convertible Bonds at Maturity -- 4.1 Block Conversion -- 4.2 Unrestricted Conversion -- 4.3 Monopolistic Conversion -- 4.4 Analysis without additional Debt -- 5 Optimal Conversion Strategies and Valuation of Convertible Bonds before Maturity -- 5.1 Block Conversion -- 5.2 Unrestricted Conversion -- 5.3 Monopolistic Conversion -- 5.4 Analysis without additional Debt -- 6 Comparison of the Results for the three Conversion Variants -- 6.1 Analysis at Maturity of the Convertible Bond -- 6.2 Analysis before Maturity of the Convertible Bond -- 6.3 Analysis without additional Debt -- 7 Optimal Conversion Strategies and Valuation of Convertible Bonds in a Multi Period Framework -- 7.1 Optimal Conversion Strategies and Valuation of Convertible Bonds at an Arbitrary Point in Time -- 7.2 Comparison of the Results for the three Conversion Variants at an arbitrary Point in Time -- 7.3 Relations between the Conversion Strategies and between the Asset Values over Time -- 8 Conclusion.
In:
Springer Nature eBook
Additional Edition:
Printed edition: ISBN 9783322820174
Additional Edition:
Printed edition: ISBN 9783824491322
Language:
English
DOI:
10.1007/978-3-322-82016-7
URL:
https://doi.org/10.1007/978-3-322-82016-7
