Information Effects, Bid-Ask Spreads, and Convertible Calls on OTC Markets

Abstract

本文探討美國店頭市場上櫃買賣公司，宣佈贖回該公司可轉換證券，對其普通股股價的影響。本研究發現，公司宣佈贖回消息後，該公司普通股股價有顯著下跌的現象。究其原因，贖回消息的宣佈，傳遞了公司前景不佳的訊息於投資大眾，因而造成該公司股價的下跌。本研究進一步探討普通股股價的價差變化，是否與上述的訊息效果相吻合。實證結果顯示，普通股價差的變化，支持了訊息效果的解釋。

This paper examines the valuation effects of OTC convertible calls and the changes of bid-ask sprreads on the underlying common stock. Similar to those studies on NYSE/AMEX convertible calls, we find a negative stock price reaction to the announcement of an in-the-money convertible calls on OTC markets. Examination of the bid-ask spread change of the underlying common stock around the announcement of covertible calls lends support to the argument that in-the-money convertible calls signal the unfavorable information on firms` operations to the public.