Announcement effects of convertible debt: Do firm and market characteristics affect the magnitude of abnormal stock returns?
Document Type Honors Thesis (Colby Access Only)
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This study examines the announcement effects of offering convertible debt using data from the US market from 2004 to 2015. The analysis suggests that the announcement effects of convertible debt correspond to negative abnormal returns on the underlying equity. I analyze those abnormal returns using regression analysis over six windows to investigate if certain firm, market, or bond-specific characteristics affect the magnitude and direction of the announcement effects. I find that business cycle environments, credit rating, and other bond-specific characteristics do affect the abnormal returns associated with the announcement and offering of convertible debt.