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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/2966
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dc.contributor.authorZabolotnyuk, Yuriyen_UK
dc.contributor.authorJones, Roberten_UK
dc.contributor.authorVeld, Chrisen_UK
dc.date.accessioned2018-01-24T23:26:54Z-
dc.date.available2018-01-24T23:26:54Z-
dc.date.issued2010-06en_UK
dc.identifier.urihttp://hdl.handle.net/1893/2966-
dc.description.abstractThis 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.en_UK
dc.language.isoenen_UK
dc.publisherWiley-Blackwell / Financial Management Association Internationalen_UK
dc.relationZabolotnyuk Y, Jones R & Veld C (2010) An Empirical Comparison of Convertible Bond Valuation Models. Financial Management, 39 (2), pp. 675-706. https://doi.org/10.1111/j.1755-053X.2010.01088.xen_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.subjectconvertible bondsen_UK
dc.subjectTsiveriotis-Fernandes modelen_UK
dc.subjectAyache-Forsyth-Vetzal modelen_UK
dc.subjectBrennan-Schwartz modelen_UK
dc.subjectconvertible bond valuation modelsen_UK
dc.subjectMarquardt algorithmen_UK
dc.subjectConvertible bonds Mathematical modelsen_UK
dc.titleAn Empirical Comparison of Convertible Bond Valuation Modelsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-31en_UK
dc.rights.embargoreason[An-empirical-comparison-of-convertible-bond-valuation-models-final-draft.doc] 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.rights.embargoreason[An-empirical-comparison-of-convertible-bond-valuation-models-final-draft1.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.doi10.1111/j.1755-053X.2010.01088.xen_UK
dc.citation.jtitleFinancial Managementen_UK
dc.citation.issn1755-053Xen_UK
dc.citation.issn0046-3892en_UK
dc.citation.volume39en_UK
dc.citation.issue2en_UK
dc.citation.spage675en_UK
dc.citation.epage706en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emailchv1@stir.ac.uken_UK
dc.contributor.affiliationCarleton Universityen_UK
dc.contributor.affiliationSimon Fraser Universityen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000279073500009en_UK
dc.identifier.scopusid2-s2.0-78649513312en_UK
dc.identifier.wtid842738en_UK
dcterms.dateAccepted2010-06-30en_UK
dc.date.filedepositdate2011-04-27en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorZabolotnyuk, Yuriy|en_UK
local.rioxx.authorJones, Robert|en_UK
local.rioxx.authorVeld, Chris|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-31en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenameAn-empirical-comparison-of-convertible-bond-valuation-models-final-draft1.pdfen_UK
local.rioxx.filecount2en_UK
local.rioxx.source0046-3892en_UK
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