Differential Clienteles and Convertible Bond Underpricing----An analysis of the China market
The 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.
Convertible bond Differential Clienteles Liquidity
张峥 唐国正 刘力
北京大学光华管理学院
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）