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@article{Avdjiev:2020:10.1016/j.jfineco.2020.06.008,
author = {Avdjiev, S and Bogdanova, B and Bolton, P and Jiang, W and Kartasheva, A},
doi = {10.1016/j.jfineco.2020.06.008},
journal = {Journal of Financial Economics},
pages = {593--613},
title = {CoCo issuance and bank fragility},
url = {http://dx.doi.org/10.1016/j.jfineco.2020.06.008},
volume = {138},
year = {2020}
}

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TY  - JOUR
AB  - The promise of contingent convertible capital securities (CoCos) as a ‘bail-in’ so-lution has been the subject of considerable theoretical analysis and debate, butlittle is known about their effects in practice.  We undertake the first comprehen-sive empirical analysis of bank CoCo issues,  a market segment that comprises over 730 instruments totaling $521billion.  Four main findings emerge:  1) thepropensity to issue a CoCo is higher for larger and better-capitalized banks; 2)CoCo issues result in a statistically significant decline in issuers’ CDS spread,indicating that they generate risk-reduction benefits and lower costs of debt (thisis especially true for CoCos that convert into equity, that have mechanical trig-gers, and that are classified as Additional Tier 1 instruments);  3) CoCos withonly discretionary triggers do not have a significant impact on CDS spreads; and 4) CoCo issues have no statistically significant impact on stock prices,  exceptfor principal write-down CoCos with a high trigger level, which have a positive effect.
AU  - Avdjiev,S
AU  - Bogdanova,B
AU  - Bolton,P
AU  - Jiang,W
AU  - Kartasheva,A
DO  - 10.1016/j.jfineco.2020.06.008
EP  - 613
PY  - 2020///
SN  - 0304-405X
SP  - 593
TI  - CoCo issuance and bank fragility
T2  - Journal of Financial Economics
UR  - http://dx.doi.org/10.1016/j.jfineco.2020.06.008
UR  - http://hdl.handle.net/10044/1/76200
VL  - 138
ER  -

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