We only consider the convertibles outstanding during the period and with
sufficient pricing information. As a result, we obtain a final sample of
164 convertible bonds and a total of 164 × 522 = 85,608 observations.
None of the convertibles in this sample actually defaulted during the
time window.
As of September 10, 2012, the sample represents a family of convertible
bonds with a time to maturity ranging from 2 months to 36.6 years, and
has an average remaining maturity of 4.35 years. The histogram of
contracts on September 10, 2012 for various maturity classes is given in
Figure 1.
Convertible bond prices observed in the market will be compared with
theoretical prices under different volatility assumptions. The sample is
segmented into two sets according to the time to maturity: a
short-maturity class (0 ~ 8 years) and a long-maturity
class (> 8 years). We first select a convertible bond from
each group: a 7-year (or 5-year outstanding) contract and a 20-year (or
17-year outstanding) contract shown in Table 1.