Stock Price Response to Calls of Convertible Bonds: Still a Puzzle?
研究发现可转换债券强制赎回公告期间股价出现负异常收益，但之后并未恢复，且与股票流动性指标无关，挑战了流动性假说。
The liquidity hypothesis predicts negative abnormal returns around the conversion‐forcing call announcements of convertible bonds, followed by a price recovery. We find the former but not the latter. The liquidity hypothesis also implies that the abnormal returns during the announcement and the post‐announcement periods should be related to proxies for the stock s liquidity. Again, our findings do not support these implications of the liquidity hypothesis. We conclude that the reason for the negative abnormal returns around the announcement of a conversion‐forcing call needs further examination.