The Optimality of Call Provision Terms
| Autor: | Eric A. Powers |
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| Rok vydání: | 2021 |
| Předmět: | |
| Zdroj: | Management Science. 67:6581-6601 |
| ISSN: | 1526-5501 0025-1909 |
| DOI: | 10.1287/mnsc.2020.3774 |
| Popis: | There is substantial variation in fixed-price call provision terms—call price premium and call protection. I investigate determinants of call price, call protection, and estimated call option value. Consistent with agency theory and asymmetric information models, I find that lower credit quality and opaque issuers choose higher call premiums, longer call protection, and overall less valuable call options. Higher-quality issuers, particularly financial institutions that struggle when interest rates are low, do the opposite. This paper was accepted by David Simchi-Levi, finance. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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