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Studies / Analysis on convertibles

Schmidt / Private Fachhochschule für Wirtschaft und Technik (FHWT) - 01.09.2004

Evaluating Convertibles as an Investment and Financing Instrument Against the Backdrop of the Current Situation in the German Capital Market

The objective of this paper is to show the advantages and disadvantages of convertibles from the perspective of companies and investors and to evaluate their use based on the economic conditions prevailing at mid-year 2004.

Fisch Asset Management - 01.06.2004

Convertible Bond Indices

The analysis offers an overview over existing and commonly known convertible bond indices and a guideline to find the index which suits best as benchmark for a given investment strategy.

Valuation and Risk Analysis of Convertibles

Introduction to valuing convertibles through the Binomial Model and subsequent discussion of the feasibility of valuing convertibles through the Binomial Model.

Goldman Sachs - 01.02.2003

Convertibles as an Asset Class - 2002 Update

Attractive long-term risk/reward profile - Ibbotson's long-term analysis of convertible-market performance - now updated through 2002 - shows returns for this asset class that nearly equal those of equities, but with substantially lower volatility.

Michael Evers / Rheinische Fachhochschule Köln - 01.01.2003

Convertibles - Financing and Investor Relations Instrument in Companies with Value-Oriented Management

In his highly comprehensible thesis, Evers describes the nature of convertible bonds (e.g. definition, history, current situation, characteristics). He outlines the field of investor relations. And finally, he ties together these two topics.

Goldman Sachs - 01.02.2002

Convertibles as an Asset Class - 2001 Update

In 1992, Goldman Sachs sponsored a study of the long-term performance of the convertible market. Since the completion of the original study, we have encountered strong demand from our client base for a revision of the article’s data to include market movements since the end of 1992, particularly given the bond market volatility and the equity market strength through that period. For that reason, they have invited Ibbotson Associates for each of the past four years to update the analysis to include the most recent available data.

Stockholm School of Economics - 01.12.2001

Development of Equity-Linked Securities Market in Europe: Drivers Behind the Growth

This thesis tries to determine the factors that have driven and hindered the rise in volumes of convertible securities market historically and furthermore to distinguish convertibles as an asset class different from bonds and equity, while detecting the main benefits and drawbacks for investors and issuers.

Manuel Ammann, Axel Kind, Christian Wilde - 13.09.2001

Are Convertible Bonds Underpriced?

The analysis reveals the (mis-)pricing behaviour of (french) convertible bonds in relation to the duration.

Manuel Ammann, Axel H. Kind und Christian Wilde - 01.09.2001

Are Convertible Bonds Underpriced?

We investigate the pricing performance of three convertible bond pricing models on the French convertible bond market using daily market prices. We examine a component model separating the convertible bond into a bond and option component, a method based on the Margrabe model for pricing exchange options, and a binomial-tree model with exogenous credit risk. All three models are found to deliver theoretical values for the analyzed convertible bonds that tend to be higher than the observed market prices. The prices obtained by the binomial-tree model are nearest to market prices and the mispricing is no longer statistically significant for the majority of bonds in our sample. For all models, the difference between market and model prices is greater for out-of-the money convertibles than for at- or in-the-money convertibles.

The 'Cyclic Market Model'

The simple 'cyclic market model' of Beat Thoma was empirically analysed by Dr. Norbert Voss.