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Probability of call and likelihood of the call feature in a corporate bond

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  • Sarkar, Sudipto

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  • Sarkar, Sudipto, 2001. "Probability of call and likelihood of the call feature in a corporate bond," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 505-533, March.
    • Handle: RePEc:eee:jbfina:v:25:y:2001:i:3:p:505-533
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    1. Robbins, Edward Henry & Schatzberg, John D, 1986. "Callable Bonds: A Risk-Reducing Signalling Mechanism," Journal of Finance, American Finance Association, vol. 41(4), pages 935-949, September.
    2. Barnea, Amir & Haugen, Robert A & Senbet, Lemma W, 1980. "A Rationale for Debt Maturity Structure and Call Provisions in the Agency Theoretic Framework," Journal of Finance, American Finance Association, vol. 35(5), pages 1223-1234, December.
    3. Leland, Hayne E & Toft, Klaus Bjerre, 1996. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
    4. Leland, Hayne E, 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-1252, September.
    5. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    6. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    7. Kish, Richard J. & Livingston, Miles, 1992. "Determinants of the call option on corporate bonds," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 687-703, August.
    8. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, vol. 5(1), pages 67-88, August.
    9. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    10. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May.
    11. Hayne E. Leland., 1998. "Agency Costs, Risk Management, and Capital Structure," Research Program in Finance Working Papers RPF-278, University of California at Berkeley.
    12. David C. Mauer & Amir Barnea & Chang-Soo Kim, 1991. "Valuation of Callable Bonds Under Progressive Personal Taxes and Interest Rate Uncertainty," Financial Management, Financial Management Association, vol. 20(2), Summer.
    13. David C. Mauer, 1993. "Optimal Bond Call Policies Under Transactions Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(1), pages 23-37, March.
    14. Bowman, Rg, 1980. "The Importance Of A Market-Value Measurement Of Debt In Assessing Leverage," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 242-254.
    15. Hayne E. Leland, 1998. "Agency Costs, Risk Management, and Capital Structure," Journal of Finance, American Finance Association, vol. 53(4), pages 1213-1243, August.
    16. Raymond C. Chiang & M. P. Narayanan, 1991. "Bond Refunding In Efficient Markets: A Dynamic Analysis With Tax Effects," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 287-302, December.
    17. Mauer, David C & Lewellen, Wilbur G, 1987. "Debt Management under Corporate and Personal Taxation," Journal of Finance, American Finance Association, vol. 42(5), pages 1275-1291, December.
    18. Yawitz, Jess B & Anderson, James A, 1977. "The Effect of Bond Refunding on Shareholder Wealth," Journal of Finance, American Finance Association, vol. 32(5), pages 1738-1746, December.
    19. Vu, Joseph D., 1986. "An empirical investigation of calls of non-convertible bonds," Journal of Financial Economics, Elsevier, vol. 16(2), pages 235-265, June.
    20. Fischer, Edwin O. & Heinkel, Robert & Zechner, Josef, 1989. "Dynamic Recapitalization Policies and the Role of Call Premia and Issue Discounts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(4), pages 427-446, December.
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    Cited by:

    1. Sarkar, Sudipto & Hong, Gwangheon, 2004. "Effective duration of callable corporate bonds: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 499-521, March.
    2. Murphy, Austin, 2003. "An empirical analysis of the structure of credit risk premiums in the Eurobond market," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 865-885, November.
    3. Alderson, Michael J. & Lin, Fang & Stock, Duane R., 2017. "Does the choice between fixed price and make whole call provisions reflect differential agency costs?," Journal of Corporate Finance, Elsevier, vol. 46(C), pages 442-460.
    4. Eric Powers, 2021. "The Optimality of Call Provision Terms," Management Science, INFORMS, vol. 67(10), pages 6581-6601, October.
    5. Levent Güntay & N. R. Prabhala & Haluk Unal, "undated". "Callable Bonds and Hedging," Center for Financial Institutions Working Papers 02-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. Mjøs, Aksel & Persson, Svein-Arne, 2010. "Callable risky perpetual debt with protection period," European Journal of Operational Research, Elsevier, vol. 207(1), pages 391-400, November.

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