Disappearing Call Delay and Dividend-Protected Convertible Bonds: Internet Appendix
26 Pages Posted: 17 Mar 2015
Date Written: February 3, 2015
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: Suggested Citation