Valuation of Convertible Bonds when Investors Act Strategically
ISBN:
978-3-8244-9132-2
Auflage:
Softcover reprint of the original 1st ed. 2004
Verlag:
Deutscher Universitätsverlag
Land des Verlags:
Deutschland
Erscheinungsdatum:
30.03.2004
Reihe:
Beiträge zur betriebswirtschaftlichen Forschung
Format:
Softcover
Seitenanzahl:
200
Lieferung in 3-4 Werktagen
Versandkostenfrei ab 40 Euro in Österreich
The large volume of literature on convertible bonds addresses two basic complexes of problems: • Why and under which conditions do firms issue convertible bonds? • What is the fair value of a convertible bond? Christian Koziol's dissertation deals with the second problem. His dissertation differs from the predominant part of the literature in two aspects. First, he explicitly considers the strategic character of the conversion decision, as the timing and the volume of con version affect the wealth of the stockholders and the remaining convertible bond holders. Second, he deals with a more general capital structure, where the firm has subordinated debt outstanding in addition to convertible bonds and stocks. Within this setting, he characterizes and analyzes the optimal conversion strategy and the endogenous prices of convertible bonds, stocks, and the additional debt for three cases: all convertible bonds are held by a monopolist, the convertible bond holders act competitively, and the compet itive bond holders are constrained to convert their bonds in one block. The third variant is typical for the option-theoretic valuation of convertible bonds that uses the typical high contact condition for American options.
Schlagwörter
Biografische Anmerkung
Dr. Christian Koziol ist wissenschaftlicher Assistent bei Prof. Dr. Dr. h.c. Wolfgang Bühler am Lehrstuhl für Finanzierung der Universität Mannheim.
