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The Effect of Default and Conversion Options on Bond Duration

Sana Horchani
The Journal of Fixed Income Winter 2016, 25 (3) 26-35; DOI: https://doi.org/10.3905/jfi.2016.25.3.026
Sana Horchani
is a part-time lecturer at Panthéon-Sorbonne University in Paris, France, and a doctor in finance from IAE Aix-en-Provence, Aix-Marseille University in Aix-en-Provence, France, and IHEC of Tunis-Carthage, Carthage University in Tunis, Tunisia.
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  • For correspondence: sana.horchani@iae-aix.com
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Abstract

This article examines the effect of default and conversion option on bond duration. Empirical evidence shows that default risk decreases bond duration, excluding the case of investment-grade bonds with a short-term maturity. Furthermore, controlling for default risk effect, the conversion option decreases bond duration for equity-like and mixed bonds. Finally, the joint effect of default and conversion risk decreases bond duration for all convertible bonds.

TOPICS: Fixed income and structured finance, options

  • © 2016 Pageant Media Ltd
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The Journal of Fixed Income: 25 (3)
The Journal of Fixed Income
Vol. 25, Issue 3
Winter 2016
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The Effect of Default and Conversion Options on Bond Duration
Sana Horchani
The Journal of Fixed Income Dec 2015, 25 (3) 26-35; DOI: 10.3905/jfi.2016.25.3.026

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The Effect of Default and Conversion Options on Bond Duration
Sana Horchani
The Journal of Fixed Income Dec 2015, 25 (3) 26-35; DOI: 10.3905/jfi.2016.25.3.026
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