| dc.creator (作者) | 廖四郎;黃星華 | zh_TW |
| dc.creator (作者) | Liao, Szu-Lang ; Huang, Hsing-Hua | - |
| dc.date (日期) | 2006-09 | en_US |
| dc.date.accessioned | 14-Nov-2008 12:27:48 (UTC+8) | - |
| dc.date.available | 14-Nov-2008 12:27:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2008 12:27:48 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/7467 | - |
| dc.description.abstract (摘要) | This article presents a contingent claim valuation of a callable convertible bond with the issuer’s credit risk. The optimal call, voluntary conversion, and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. This model not only incorporates tax benefits, bankruptcy costs, refunding costs, and a call notice period, but also takes account of the issuer’s debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore, calling convertible bonds too late or too early can be rational. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Futures Markets, 26(9), 895-922 | en_US |
| dc.title (題名) | Valuation and Optimal Strategies of Convertible Bonds | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.20219 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.20219 | en_US |
