Disappearing Call Delay and Dividend-Protected Convertible Bonds: Internet Appendix

26 Pages Posted: 17 Mar 2015

See all articles by Bruce D. Grundy

Bruce D. Grundy

University of Melbourne

Patrick Verwijmeren

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Date Written: February 3, 2015

Abstract

This online appendix belongs to the paper "Disappearing Call Delay and Dividend-Protected Convertible Bonds" and provides a further investigation of explanators of call delay. Internet Appendix I sets out a dividend-related signaling model that can explain a delay in calling non-dividend-protected convertible bonds and shows that the model cannot explain a delay in calling dividend-protected convertible bonds. Internet Appendix II demonstrates that the Harris and Raviv (1985) signaling model of call policy provides a theoretical explanation of call delay that is equally applicable to non-dividend-protected and dividend-protected convertible bonds. Internet Appendix III empirically investigates the role of a safety premium in explaining call delay. Internet Appendix IV provides more insight into time trends by examining the likelihood and size of dividend payments over a period in which the call delay for non-dividend-protected convertibles declined.

The paper "Disappearing Call Delay and Dividend-Protected Convertible Bonds" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2012958

Keywords: Call policy, Dividend protection, Convertible bonds, Security design

JEL Classification: G2, G32

Suggested Citation

Grundy, Bruce D. and Verwijmeren, Patrick, Disappearing Call Delay and Dividend-Protected Convertible Bonds: Internet Appendix (February 3, 2015). Available at SSRN: https://ssrn.com/abstract=2579127 or http://dx.doi.org/10.2139/ssrn.2579127

Bruce D. Grundy

University of Melbourne ( email )

Faculty of Economics & Commerce
Department of Finance
Victoria, 3010
Australia
+61 3 8344 9083 (Phone)
+61 3 8344 6914 (Fax)

Patrick Verwijmeren (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

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