Convertible Bond Issues And Equity Price Impacts

Cover Convertible Bond Issues And Equity Price Impacts
Convertible Bond Issues And Equity Price Impacts
Kuhlman, Bruce Robert
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These daily excess returns are then com- bined to form 60 two-day excess returns for each firm, the thirtieth, t = 30, of which contains the event date and the preceding day. The two-day excess returns are then aver- aged at each time t, t = 1 to 60, across the firms in the sample.
where AERt = 1/n I ER^ ^ j ^' j = 1 to n t = 1 to 60 AER^ = the average 2 -day excess return for the n firms in the sample at time t ^^j,t = ^^^ 2 -day excess return for firm j at time t n = the number of firms in th
...e sample 68 To test the significance of each average two-day excess return a Student's T-test will be performed. The standard deviation of the 2 -day abnormal returns is estimated from the 59 2-day average excess returns from trading days -60 to -2 and +1 to +60. Calculating the standard deviation in this manner avoids any potential effects of abnormal vari- ance on the event date.
In most of the empirical tests the sample will be strat- ified in some fashion to identify any equity price impact related to the variable by which the firms have been strat- ified.


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