Keywords
Convertibles, Performance, Preferred stocks, Pricing
Abstract
This dissertation is a comprehensive study of convertible-preferred-stock pricing and performance following issuance. It is the first major academic study that identifies significant abnormal performance of corporate contingent claims following issuance. The research utilizes both option-based contingent claims valuation models and econometric techniques to investigate the sources of superior investment performance of convertible securities as an asset class that has persisted for the past thirty years. Two main issues are examined: potential underpricing of convertible preferred stocks at issuance and their subsequent investment performance. Underpricing is examined based on a robust contingent-claims valuation model. Using two samples of convertible preferred stock offerings (24 issues, 12,051 observations and 69 issues, 28,831 observations respectively), the study provides evidence of statistically and economically significant underpricing at issuance that ranges from 2.9% to 1.4% and persists from the first day of convertible trading up to six months following issuance. Underpricing is invariant to convertible ratings and the exchange where the issues are traded. It is found, however, that, large and mid cap issues are more likely to be underpriced than small cap convertibles. Also, the offerings that are underwritten by non-reputable investment bankers are more likely to be underpriced than those underwritten by reputable investment bankers.
Notes
If this is your thesis or dissertation, and want to learn how to access it or for more information about readership statistics, contact us at STARS@ucf.edu
Graduation Date
2004
Semester
Summer
Advisor
Ramanlal, Pradipkumar
Degree
Doctor of Philosophy (Ph.D.)
College
College of Business Administration
Department
Finance
Degree Program
Finance
Format
application/pdf
Identifier
CFE0000079
URL
http://purl.fcla.edu/fcla/etd/CFE0000079
Language
English
Release Date
January 2008
Length of Campus-only Access
None
Access Status
Doctoral Dissertation (Open Access)
Subjects
Business Administration -- Dissertations, Academic; Dissertations, Academic -- Business Administration
STARS Citation
Guzhva, Vitaly S., "The Pricing And Performance Of Convertible Preferred Stock Offerings Following Issuance" (2004). Electronic Theses and Dissertations. 29.
https://stars.library.ucf.edu/etd/29