| 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 |
https://doi.org/10.1111/eufm.12092 |
| Depositing User |
Prof. Dr. Manuel Ammann
|
| Date Deposited |
10 Dec 2015 16:21 |
| Last Modified |
20 Jul 2022 17:26 |
| URI: |
https://www.alexandria.unisg.ch/publications/246040 |
Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry
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