Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/2966
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: An Empirical Comparison of Convertible Bond Valuation Models
Authors: Zabolotnyuk, Yuriy
Jones, Robert
Veld, Chris
Contact Email: chv1@stir.ac.uk
Keywords: convertible bonds
Tsiveriotis-Fernandes model
Ayache-Forsyth-Vetzal model
Brennan-Schwartz model
convertible bond valuation models
Marquardt algorithm
Issue Date: Jun-2010
Publisher: Wiley-Blackwell / Financial Management Association International
Citation: Zabolotnyuk Y, Jones R & Veld C (2010) An Empirical Comparison of Convertible Bond Valuation Models, Financial Management, 39 (2), pp. 675-706.
Abstract: This paper empirically compares three convertible bond valuation models. We use an innovative approach where all model parameters are estimated by the Marquardt (1963) algorithm using a subsample of convertible bond prices. The model parameters are then used for out-of-sample forecasts of convertible bond prices. The mean absolute deviation is 1.86% for the Ayache-Forsyth-Vetzal (2003) model, 1.94% for the Tsiveriotis-Fernandes (1998) model, and 3.73% for the Brennan- Schwartz (1980) model. For this and other measures of fit, the Ayache-Forsyth- Vetzal (2003) and Tsiveriotis-Fernandes (1998) models outperform the Brennan- Schwartz (1980) model.
Type: Journal Article
URI: http://hdl.handle.net/1893/2966
DOI Link: http://dx.doi.org/10.1111/j.1755-053X.2010.01088.x
Rights: The 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.
Affiliation: Carleton University
Simon Fraser University
University of Stirling

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