Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry

Item Type Journal paper
Abstract

This paper investigates the announcement effects of CoCo bonds issued by global banks between January 2009 and June 2014. Using a sample of 34 financial institutions, we examine abnormal stock price reactions and CDS spread changes before and after the announcement dates. We find that the announcement of CoCos correlates with positive abnormal stock returns and negative CDS spread changes in the immediate post-announcement period. We explain these effects with a set of theories including the lowered probability of costly bankruptcy proceedings, a signaling framework based on pecking order theory and the cost advantage of CoCos over equity (tax shield).

Authors Ammann, Manuel; Blickle, Kristian & Ehmann, Christian
Journal or Publication Title European financial management
Language English
Keywords contingent convertible securities, CoCo bonds, announcement effects, event study
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date January 2017
Publisher Wiley-Blackwell
Place of Publication Oxford
Series Name School of Finance Working Paper Series
Volume 23
Number 1
Page Range 127-152
ISSN 1354-7798
ISSN-Digital 1468-036X
Publisher DOI 10.1111/eufm.12092
Depositing User Prof. Dr. Manuel Ammann
Date Deposited 10 Dec 2015 16:21
Last Modified 25 Jul 2018 06:27
URI: https://www.alexandria.unisg.ch/publications/246040

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Citation

Ammann, Manuel; Blickle, Kristian & Ehmann, Christian (2017) Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry. European financial management, 23 (1). 127-152. ISSN 1354-7798

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https://www.alexandria.unisg.ch/id/eprint/246040
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