Intermediary frictions and convertible bond pricing
研究发现，买入并套期保值的中介机构在管理头寸时产生的成本会影响可转换债券的定价，尤其是贷款成本的横截面和债券内变化有助于解释可转换债券的低估差异。
Buy-and-hedge intermediaries are important investors in the convertible bond market as they intermediate between firms that require capital quickly and investors requiring time to assess the security. Their strategy requires them to manage the trade-offs involved with the costs and benefits of hedging. We find that prices of convertible securities reflect the costs that intermediaries incur when managing their positions. Especially cross-sectional and within-bond variation of intermediaries’ loan costs helps explain variation in convertible bond underpricing.