Cowan, Arnold R.; Nayar, Nandkumar; Singh, Ajai K. - In: Journal of Financial and Quantitative Analysis 25 (1990) 04, pp. 549-554
Ofer and Natarajan (1987) report negative, statistically significant cumulative average abnormal returns over five years following convertible bond calls. We show that these results are obtained only if returns preceding the call dates are used for market model parameter estimation. Returns...