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The Pricing And Performance Of Convertible Preferred Stock Offerings Following Issuance, Vitaly S. Guzhva

Electronic Theses and Dissertations

This dissertation is a comprehensive study of convertible-preferred-stock pricing and performance following issuance. It is the first major academic study that identifies significant abnormal performance of corporate contingent claims following issuance. The research utilizes both option-based contingent claims valuation models and econometric techniques to investigate the sources of superior investment performance of convertible securities as an asset class that has persisted for the past thirty years. Two main issues are examined: potential underpricing of convertible preferred stocks at issuance and their subsequent investment performance. Underpricing is examined based on a robust contingent-claims valuation model. Using two samples of convertible preferred …