Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

The Determinants of CoCo Bond Prices

Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
The Journal of Derivatives Spring 2019, 26 (3) 35-52; DOI: https://doi.org/10.3905/jod.2019.26.3.035
Sara Abed Masror Khah
is a doctoral candidate in the Luxembourg School of Finance at the University of Luxembourg in the Grand Duchy of Luxembourg
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Theo Vermaelen
is a professor of finance and the UBS Chair in Investment Banking at INSEAD in Fontainebleau, France
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Christian C. P. Wolff
is a research professor in the Luxembourg School of Finance at the University of Luxembourg in the Grand Duchy of Luxembourg
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

This study aims to empirically test how contingent convertible (CoCo) bond prices are affected by the main theoretical determinants and design features. The theoretical framework used in this article is the Equity Derivatives Model suggested by De Spiegeleer and Schoutens (2012). The authors test for the relationship between CoCo prices and key variables suggested by this model. They find that the main determinants are mostly significant and that the explanatory power of the model is high with an R-squared of 86%. The power of the model is not affected by the loss absorption mechanism (conversion to equity or principal write-down). They also identify a number of additional explanatory variables of importance.

  • © 2019 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives: 26 (3)
The Journal of Derivatives
Vol. 26, Issue 3
Spring 2019
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
The Determinants of CoCo Bond Prices
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
The Determinants of CoCo Bond Prices
Sara Abed Masror Khah, Theo Vermaelen, Christian C. P. Wolff
The Journal of Derivatives Feb 2019, 26 (3) 35-52; DOI: 10.3905/jod.2019.26.3.035

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
The Determinants of CoCo Bond Prices
Sara Abed Masror Khah, Theo Vermaelen, Christian C. P. Wolff
The Journal of Derivatives Feb 2019, 26 (3) 35-52; DOI: 10.3905/jod.2019.26.3.035
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DESIGN FEATURES OF COCO AND ITS PRICE DETERMINANTS
    • VALUING COCOS
    • DATA AND VARIABLES
    • EMPIRICAL ANALYSIS
    • RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies