Signaling with Convertible Debt
检验可转换债券的转换价格是否被股市视为公司未来盈利前景的可信信号，并验证其是否作为后门权益融资工具。研究发现，可转换债券平均预期在1.5年内达到平价，发行公告的异常收益与预期时间正相关，表明其传递了类似权益的信号。
We test whether the conversion price (ratio) is viewed by the stock market as a credible signal of the firm's future earnings prospects (Kim (1990)) and, subsequently, whether convertible debt serves as backdoor equity financing (Stein (1992)). Examining the conversion price in relation to current stock prices and a priori growth expectations produces an average expected time of less than 1.5 years for convertible bonds to be at-the-money. Thus, as Stein suggests, convertibles appear to be a method of drawing equity into a firm's capital structure. We also find that the size of the firm's announcement period abnormal returns is positively related to the expected time for the convertible to become at-the-money. Given these relationships, we conclude that convertible debt issue announcements, on average, send an equity-like signal to the market.