Call Me Maybe: Corporate Bond Prices Upon Missed Call Opportunities
研究发现，在可赎回公司债券样本中，当发行人宣布是否赎回时，债券价格会出现约40个基点的超额回报，尤其是那些本可盈利赎回但未赎回的债券价格跳升最大，这归因于错过行权机会导致的嵌入式看涨期权重估。
ABSTRACT In a sample of discretely callable corporate bonds, we find excess returns of approximately 40 bps realized on the release of the issuer's decision to call or not to call. The bonds that could have been profitably called (in‐the‐money bonds) but are not called contribute the most to the bond price jump. We attribute the jump to the revaluation of an embedded bond call option due to a missed exercise opportunity, consistent with delayed in‐the‐money calls being suboptimal no‐exercise decisions.