Convertible debt indicator
✓ aliveConvDebtFinancing· Accounting data
Binary variable equal to 1 if deferred charges (dc) greater than 0 or common shares reserved for convertible debt (cshrc) greater than 0.
IS Sharpe (1951–2015)
0.499
+2.8% p.a.
OOS Sharpe (2016–2024)
0.668
+4.6% p.a.
Sharpe decay
-33.9%
(IS − OOS) / |IS|
IS vol
5.6%
annualized
Cumulative return (last 40 years, monthly)
+514%1984-012024-12
Publication details
AuthorsValta
PaperValta (2016)
JournalJournal of Financial and Quantitative Analysis
Publication year2016
Original sample1985–2012
IS T-statistic4.50
More Financing anomalies
Net external financing+0.86Share issuance (5 year)+0.77Share issuance (1 year)+0.75Net equity financing+0.71Net debt financing+0.70Composite debt issuance+0.54
See all Financing anomalies →