Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/198911 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7551
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank’s characteristics, and also considers the role of country−specific CoCo bond market competitiveness. Buyers are found to be characterised by stronger preference responses to CoCo bond coupons and credit ratings, while sellers are more sensitive to CoCo bond issue size and financial characteristics including return on common equity, price−to−book ratio and total regulatory capital to risk−weighted asset ratio. Further, sizeable responses to CoCo bond and issuing bank’s characteristics are found in most European countries, Brazil, Mexico and China, the strongest responses being estimated in the case of the UK and China.
Subjects: 
CoCo bonds
buyers and sellers
preference scores
logistic regressions
JEL: 
C25
C39
F39
G11
G21
G24
G28
Document Type: 
Working Paper
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