Stock Returns before and After Calls of Convertible Bonds

Liquidity Costs and Stock Price Response to Convertible Security Calls

“…Information signaling is suggested as a theoretical explanation by Harris and Raviv (1985) for (1) the adverse stock price effects and (2) the reality that convertible bond calls are typically delayed until the convertibles are substantially in the money (Ingersoll 1977b). 1 Their model has found empirical support in the evidence reported by Ofer and Natarajan (1987), though some of their most persuasive evidence is shown to be critically sensitive to the choice of estimation period for the returngenerating process used in their study (Cowan, Nayar, and Singh 1990). Moreover, the predictions of the model set forth by Harris and Raviv (1985) do not extend in an obvious way to calls of convertible preferred stocks, though perhaps a signaling argument can be made that would explain the negative price effect observed for these securities as well.…”

The long-term success of M&A in the automotive supply industry: determinants of capital market performance

“…The crosssectional test as proposed by Boehmer et al (1991) accounts for a potential eventinduced increase in standard deviation by combining variance information from the event and the estimation period. 8 Since prior research provides some evidence that non-parametric test statistics can be more powerful than parametric t-statistics (Barber and Lyon 1996, p. 360), the non-parametric Generalised Sign Test (GST) as proposed by Cowan et al (1990) completes the test statistics applied in the short-term study.…”

“…It contains all public acquirers which trading data was available between 250 days before and 20 days after the transaction. The statistical significance has been tested using a standard t-test, the cross-sectional test as proposed byBoehmer et al (1991) (z-test), and the Generalized Sign Test as proposed byCowan et al (1990). P stands for the percentage of transactions in the sample that resulted in a positive abnormal return ***p<0.01, **p<0.05, *p<0.1…”

Wealth creation of mergers in downturn markets

“…While cash transactions in weak markets appear to be favorable to the bidding firms' shareholders compared to those in high valuation markets, there does not appear to be a stronger performance of share transactions in boom markets. Cowan et al (1990) f To test the difference in means between sub-samples the standard t-test for mean differences is applied. The p-values resulting from z-and t-statistics are marked with "a" if significance is in 1 % area, with "b" in 5 % area, and with "c" in 10 % area The p-values resulting from t-statistics are marked with "a" if significance is in 1 % area, with "b" in 5 % area, and with "c" in 10 % area…”

“…In addition, the non-parametric generalized sign test (GST) introduced by Cowan et al (1990) is calculated. Bartholdy et al (2007) show that non-parametric tests have larger power to detect abnormal returns, especially for thinly traded stocks.…”