中介摩擦与可转换债券定价

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2024-02-21 DOI:10.1016/j.jfi.2024.101085

Bruce D. Grundy , Patrick Verwijmeren , Antti Yang

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引用次数: 0

摘要

买入套期保值中介机构是可转换债券市场的重要投资者，因为它们在快速需要资金的公司和需要时间评估证券的投资者之间发挥中介作用。他们的策略要求他们在对冲的成本和收益之间进行权衡。我们发现，可转换证券的价格反映了中介机构在管理头寸时的成本。特别是中介机构贷款成本的横截面和债券内部变化有助于解释可转换债券定价不足的变化。

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Intermediary frictions and convertible bond pricing

Buy-and-hedge intermediaries are important investors in the convertible bond market as they intermediate between firms that require capital quickly and investors requiring time to assess the security. Their strategy requires them to manage the trade-offs involved with the costs and benefits of hedging. We find that prices of convertible securities reflect the costs that intermediaries incur when managing their positions. Especially cross-sectional and within-bond variation of intermediaries’ loan costs helps explain variation in convertible bond underpricing.

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.