Announcement Effects of Contingent Convertible Securities : Evidence from the Global Banking Industry
This paper investigates the announcement effects of contingent convertible securities (CoCo bonds) issued by global banks between January 2009 and June 2014. Using a sample of 34 financial institutions and 87 CoCo bond issues, we examine abnormal stock price reactions and CDS spread changes before and after the announcement dates. We find that the announcement of CoCo bonds correlates with positive abnormal stock returns and negative CDS spread changes in the immediate post-announcement period. The effects are most pronounced for first-time issues. We explain the CDS spread changes by the lower probability of costly bankruptcy proceedings and the abnormal stock returns by a signaling framework that is based on pecking order theory and the cost advantage over equity (tax shield). We also examine the factors that are associated with the post-announcement abnormal stock returns and find that the existence of issuer call provisions reduces the positive abnormal returns
Year of publication: |
2016
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Authors: | Ammann, Manuel |
Other Persons: | Ehmann, Christian (contributor) ; Blickle, Kristian (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Ankündigungseffekt | Announcement effect | Welt | World | Bank | Wandelanleihe | Convertible bond | Ereignisstudie | Event study | Kapitalmarktrendite | Capital market returns | Kapitalstrukturtheorie | Capital structure theory |
Saved in:
freely available
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: European Financial Management, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 10, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2701938 [DOI] |
Classification: | G01 - Financial Crises ; G14 - Information and Market Efficiency; Event Studies ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013002715