1. STORRE
  2. Stirling Management School
  3. Accounting and Finance
  4. Accounting and Finance Journal Articles
Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/1744
Full metadata record
DC FieldValueLanguage
dc.contributor.authorSzymanowska, Martaen_UK
dc.contributor.authorter Horst, Jenkeen_UK
dc.contributor.authorVeld, Chrisen_UK
dc.date.accessioned2013-06-08T22:31:17Z-
dc.date.available2013-06-08T22:31:17Z-
dc.date.issued2009-10en_UK
dc.identifier.urihttp://hdl.handle.net/1893/1744-
dc.description.abstractWe study the pricing of reverse convertible (RC) bonds. These are bonds that carry high coupon payments. In exchange, the issuer has an option at the maturity date to either redeem the bonds in cash, or to deliver a pre-specified number of shares. We find that Dutch plain vanilla and knock-in reverse convertible bonds are, on average, overpriced by almost 6%. This overpricing is confirmed in a model-free analysis with respect to option- and bond- pricing models. We find that rational factors explain 23% of the documented overpricing. In addition, we find that the combination of financial marketing, framing, and the representativeness bias further increases our ability to explain the documented overpricing to more than 35%.en_UK
dc.language.isoenen_UK
dc.publisherWiley-Blackwellen_UK
dc.relationSzymanowska M, ter Horst J & Veld C (2009) Reverse convertible bonds analyzed. Journal of Futures Markets, 29 (10), pp. 895-919. https://doi.org/10.1002/fut.20397en_UK
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author; you can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectreverse convertible bondsen_UK
dc.subjectreverse exchangeable securitiesen_UK
dc.subjectstructured productsen_UK
dc.subjectStock warrantsen_UK
dc.subjectConvertible bondsen_UK
dc.titleReverse convertible bonds analyzeden_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate3000-01-01en_UK
dc.rights.embargoreason[reverse convertible bonds JFM repository.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1002/fut.20397en_UK
dc.citation.jtitleJournal of Futures Marketsen_UK
dc.citation.issn1096-9934en_UK
dc.citation.issn0270-7314en_UK
dc.citation.volume29en_UK
dc.citation.issue10en_UK
dc.citation.spage895en_UK
dc.citation.epage919en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emailc.h.veld@stir.ac.uken_UK
dc.contributor.affiliationErasmus University, Rotterdamen_UK
dc.contributor.affiliationTilburg Universityen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000269135400001en_UK
dc.identifier.scopusid2-s2.0-76149127665en_UK
dc.identifier.wtid842777en_UK
dcterms.dateAccepted2009-10-31en_UK
dc.date.filedepositdate2009-10-27en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorSzymanowska, Marta|en_UK
local.rioxx.authorter Horst, Jenke|en_UK
local.rioxx.authorVeld, Chris|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate3000-01-01en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenamereverse convertible bonds JFM repository.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0270-7314en_UK
Appears in Collections:Accounting and Finance Journal Articles

Files in This Item:
File Description SizeFormat 
reverse convertible bonds JFM repository.pdfFulltext - Accepted Version167.47 kBAdobe PDFUnder Embargo until 3000-01-01    Request a copy


This item is protected by original copyright

View License
Show simple item record


Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.