Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2023 erstellt
Description:
Using equity returns on all banks (across 28 countries) that ever issued contingent convertiblecapital securities (CoCos), we identify a “CoCo-induced collapse option,” that apparently was exercised during the March 2023 failure of Credit Suisse. Reflecting this option’s value, abnormal announcement returns for non-dilutive CoCos with positive wealth transfers to shareholders upon CoCo trigger are positive if banks have large amounts of CoCos. Systemic risk-reducing CoCos without this option have significantly negative announcement returns. Banks issuing dilutive CoCos overperform (exceeding 20 basis points monthly) during periods of high aggregate uncertainty. Dilutive CoCos are more prevalent in common and French-civil law countries