Global Evaluation of Contingent Convertibles: Testing for Evidence of Market Discipline in the CoCo Market
In this paper, we investigate evidence of market discipline from contingent convertible (CoCo) issues. Previous research has focused on the monitoring aspect of market discipline, by testing risk sensitivity of market prices (subordinated notes and debentures (SND)) to accounting measures of bank risk. We take a similar approach using CoCo spreads and additionally use issue specific features. We a