Year: 2025
Type: article
Abstract: 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.
Source: Financial Management
DOI: 10.1111/fima.12503
Authors: Alexey Ivashchenko, Michael Rockinger
Institution: Vrije Universiteit Amsterdam
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $2,850
Funder: Universiteit van Amsterdam
OpenAlex ID: W4410248031