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Table Of Contents

1 Introduction
2.1 Time Line
2.2.1 The interest rate process
2.2.2 The firm’s cash flow and production costs
2.2.3 Bond types
2.2.4 Value of the unlevered firm
2.2.5 Value of the firm’s equity and debt
2.2.6 Valuation of the Debt
3 Data
4.1 Calibration
4.2 Model-Generated Spreads
4.3 Comparative Statics
5.1 Exogenous Control Variables
5.2 Regression Results
6.1 Capital Gains Taxes
6.2 Transactions Costs
6.3 Make-Whole Call Provisions as a Substitute for Tender Offers
6.4 Empirical Results Incorporating Imperfections into the Model
7.1 Analysis of More Homogenous Subsamples
7.2 Alternative Models
7.3 Is Mispricing Independent of Bond Characteristics?
8 Conclusion
9.1 Valuation of the unlevered firm
9.2 Valuation of the Equity
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Make Whole Call

Make Whole Call

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Published by Ajay Sathya

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Published by: Ajay Sathya on Jun 01, 2011
Copyright:Attribution Non-commercial

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06/01/2011

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