affects their callability
, and how does one determine whether a class of
(41.) Gilchrist and Zakrajsek (2012) address the issue of callability
in the construction of their "excess bond premium." They use a panel regression, whereby they regress individual corporate spreads on variables that capture the value of the call option, in addition to bond-specific measures of default probability.
As with callability
, extendibility provides managers with greater timing flexibility.
To control for the risks arising from callability
, a dummy variable (CALLABLE) is used, where a value of 1 indicates a callable issue and a value of 0 indicates a non-callable issue.
and bond maturity are also important factors increasing the costs to bond issuers.
Assume no special contractual provisions such as callability
Therefore, these risk-premiums do not suffer from confounding effects arising from callability
This database contains a wide range of information about corporate bond issues including the issuer, offering data, maturity data, coupon type, offering yield to maturity, seniority level, and ratings and bond characteristics such as convertibility, putability, and callability
constraints are: V [less than or equal to] max(Call Price, aS); [SIGMA] = 0 if V [greater than or equal to] Call Price.
The data contain information on monthly prices (quote and matrix), accrued interest, coupons, ratings, callability
, and returns on all investment-grade corporate and government bonds for the period from January 1987 to December 1996.
was very common prior to the 1990s, and was used in an average of more than 75% of all debt issues.
When structuring its financing, a firm must make decisions on all the relevant aspects of its debt, including leverage, maturity, callability
, priority, and placement.