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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Dmitrii Kondratev
Yield Influence Factors for Contingent Convertible Bonds
Financial Economics
(Master’s programme)
2017
Contingent Convertible (CoCo) Bond – quite new to the market instrument, which popularity start to arise after world financial crisis of 2007 – 2009. It possesses features of debt instrument until a trigger event occurs, and after it converts into common equity or writes down contained debt. This paper contributes to factors, which influence the yield of the CoCo Bond. A sample of CoCo bonds includes tradeable bonds at the end of April of 2017. The research was made using regression analysis to study the significance of the influence of yield factors on the yield of the CoCo bonds, where the significance of the CoCo specific factors is found and discussed. Besides that, event study was conducted to analyze announcement of the financial statements effect on the yield of the CoCo bonds by testing their abnormal returns significance and by comparing abnormal returns of the CoCo bonds and ordinary bonds without contingency conversion features of the same issuers to check sensitivity of the price movement in case of the event. The study shows that CoCo bonds` abnormal returns are significant and their prices react on the financial statements publication more noticeably in comparison to prices of the non-CoCo bonds.

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