he Use of Hybrid Securities
出版社 DUV
DOI 10.1007/978-3-8350-9077-4
版权 2006
ISBN 978-3-8350-0247-0 (Print) 978-3-8350-9077-4 (Online)
学科分类 商业和经济
学科 Economics/Management Science and Finance /Banking
SpringerLink Date 2007年12月3日

Contents
List of figures XV
List of tables XVII
List of abbreviations XIX
List of symbols XXIII
I Introduction 1
1 Problem and objectives 1
2 Organization of the thesis 3
II Definitions 5
1 Hybrid securities 5
2 Convertible debt 5
3 Convertible preferred stock 10
4 Mandatory convertibles 10
5 Exchangeable debt 12
III Why firms issue convertible debt - Market timing and investor rationing 13
1 Introduction 13
2 Existing literature 16
2.1 The traditional hypothesis 16
2.2 The rationing-hypothesis 18
2.3 The timing-hypothesis 19
3 Data and proxy variables 20
4 Operating performance 24
4.1 Methodology 24
4.2 Operating performance of convertible debt issuers 28
XII Contents
4.3 Operating performance of equity issuers 32
4.4 A comparison of operating performance 35
4.5 Determinants of operating performance 37
5 Stock price performance 41
5.1 Buy-and-hold abnormal returns 42
5.1.1 Methodology 42
5.1.2 Results 44
5.2 Calendar-time abnormal returns 47
5.2.1 Methodology 48
5.2.2 Results 49
5.3 Discussion 51
6 Conclusion 55
IV A note on systematic risk changes around convertible debt issues 57
1 Introduction 57
2 Data 58
3 Changes in systematic risk 59
4 Conclusion 64
V The concurrent offerings puzzle 67
1 Introduction 67
2 Theoretical background 70
3 Data and proxy variables 74
3.1 Sample selection procedure 74
3.2 Data summary information 75
3.3 Proxy variables 77
4 Empirical analysis of company characteristics 81
Contents XIII
4.1 Presentation of pre-issue company characteristics 81
4.2 A regression model of security choice 83
5 The stock price reaction to the announcement of concurrent offerings 87
5.1 The magnitude of cumulative average abnormal returns 87
5.2 The cross-section of cumulative abnormal returns 90
6 Long-run abnormal returns 94
6.1 Buy-and-hold abnormal returns 95
6.2 Tests of robustness 97
6.3 Discussion 99
7 Conclusion 102
VI Divestment of equity stakes - An analysis of exchangeable debt 105
1 Introduction 106
2 Theoretical background 108
2.1 Motives for exchangeable debt issuance 108
2.2 Existing empirical evidence for exchangeable debt issuance 110
2.3 The magnitude of announcement returns 112
2.3.1 Exchange firms 113
2.3.1.1 Information-hypothesis 113
2.3.1.2 Agency-hypothesis 114
2.3.2 Issuing firms 115
2.4 The cross-section of announcement returns 116
2.4.1 Transaction and security structure 116
2.4.1.1 Relative issue size 116
2.4.1.2 Exchange probability 117
2.4.1.3 Convertible arbitrage 118
2.4.2 Market timing 119
XIV Contents
2.4.2.1 Time-varying costs of adverse selection 120
2.4.2.2 Valuation level 121
3 Data and methodology 124
3.1 Data 124
3.1.1 Sample selection procedure 124
3.1.2 Data summary information 124
3.1.3 Circumstances surrounding exchangeable debt issues 127
3.2 Methodology 129
3.2.1 Computation of announcement returns 129
3.2.2 Inference and cross-sectional analysis of announcement returns 131
4 Presentation and interpretation of results 132
4.1 The magnitude of announcement returns 132
4.2 The cross-section of announcement returns 135
4.2.1 Transaction and security structure 135
4.2.1.1 Relative issue size 135
4.2.1.2 Exchange probability 136
4.2.1.3 Convertible arbitrage 137
4.2.2 Market timing 139
4.2.2.1 Time-varying costs of adverse selection 139
4.2.2.2 Valuation level 140
4.2.3 Multivariate analysis of announcement returns 143
4.3 Mandatory exchangeables 146
5 Conclusion 147
VII Conclusions and outlook 149
Bibliography 153