No abstract

No abstract

No abstract

This study examines abnormal stock returns associated with both the date a convertible bond issue is announced and the date it is sold. Results suggest the negative stock price effects observed I this and previous studies are due to the equity component inherent in convertible bonds, and an easily observed measure of that equity component is offered. In addition, results suggest that convertible bond issues sold by firms with previously issued outstanding convertibles are met with larger negative abnormal equity returns.

In this paper we examine an aspect ofprofessional investment management which has not been adequately documented and studied; the extent to which equity mutualfund managers actively adjust their portfolio’s equity risk evosure over time. Estimates of a portfolio’s quarter-end beta are developed using the actual stock ho~~gs oft~~~ol~ at the quarter-end. Changes in these beta estimates fivm one quarter to the next are shown to arise frtm both passive and active asset allocation. Wefind that active risk adjust~nt domi~~s~ssive rebalancing and that equity risk exposunz is quite variable over time. Thus, individual investors who estimate the equity risk inherent in a portfolio bused on a single time series return beta might seriously misestimate the portfolio’s current equity risk. We also test whether active risk management is better characterized LISanticipatory offuture market events or reactive to past market events.