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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 |
| Author(s): | 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 Convertible bonds Mathematical models |
| Issue Date: | Jun-2010 |
| Date Deposited: | 27-Apr-2011 |
| Citation: | Zabolotnyuk 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.x |
| 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. |
| DOI Link: | 10.1111/j.1755-053X.2010.01088.x |
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| Licence URL(s): | http://www.rioxx.net/licenses/under-embargo-all-rights-reserved |
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