Old National Bancorp was the first publicly traded bank to buy back its Capital Purchase Program (CPP) warrants. It paid $1.2 million, which is below the low-end of this paper's estimates of the fair market value of the warrants. This paper estimates the warrants are worth between $1.9 and $6.9...

We investigate whether firms manage stock prices in anticipation of share issuance. Warrant exercise results in share issuance and warrant expiration dates are fixed years in advance, which precludes market timing. We predict firms manage stock prices to prevent (induce) warrant exercise when...

We examine the issuance choice across rights issues of equity, unit offerings and standalone warrants and investigate the market reactions to these issue types. We find that agency costs, growth opportunities and current funding needs relative to assets in place are prime drivers of the type of...

The empirical analysis of new warrant issues in the context of a structural model of the firm typically assumes the absence of debt and a perfect equity pricing model. We examine here an approach relaxing these two assumptions. The proposed approach develops simple analytical expressions for the...

We present an easily implemented, fast, and accurate method for approximating extreme quantiles of compound loss distributions (frequency and severity) as are commonly used in insurance and operational risk capital models. The Interpolated Single Loss Approximation (ISLA) of Opdyke (2014) is...

This paper addresses the relationship between the capital structure and the systematic risk of common equity for a firm whose capital structure includes convertible securities. Adding warrants to the capital structure reduces the systematic risk of equity, which is consistent with the fact that...