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An Estimate of Convertible Bond Premiums: Comment

Published online by Cambridge University Press:  19 October 2009

Alan W. Frankle
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Extract

Professor Jennings, in his recent article [2], developed a model to estimate convertible bond premiums. The model incorporates the capital asset pricing model to evaluate convertible bonds. The purpose of this comment is not to criticize the general development of the model but to point out flaws in its implementation which influence Jennings' empirical results.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 2 , June 1975 , pp. 369 - 373
Copyright
Copyright © School of Business Administration, University of Washington 1975

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References

REFERENCES

[1]Chen, H. Y. “A Model of Warrant Pricing in a Dynamic Market.” Journal of Finance, December 1970, pp. 1041–1059.CrossRefGoogle Scholar
[2]Frankle, Alan W., and Hawkins, Clark A.. “The Behavior of Convertible Debenture Premiums: Comment.” The Mississippi Valley Journal of Business and Economics, Winter 1973–1974, pp. 65–68.Google Scholar
[3]Jennings, Edward H. “An Estimate of Convertible Bond Premiums.” Journal of Financial and Quantitative Analysis, January 1974, pp. 33–55.CrossRefGoogle Scholar
[4]Samuelson, Paul. “Rational Theory of Warrant Pricing.” Industrial Management Review, Spring 1965, pp. 13–39.Google Scholar
[5]Weil, Roman L.; Segall, Joel E.; and Green, David Jr. “Premiums on Convertible Bonds.” Journal of Finance, June 1968, pp. 445–463.CrossRefGoogle Scholar
[6]West, Richard R., and Largay, James A. III. “Premiums on Convertible Bonds: Comment.” Journal of Finance, December 1972, pp. 1156–1162.CrossRefGoogle Scholar