TY - JOUR T1 - The Effect of Default and Conversion Options on Bond Duration JF - The Journal of Fixed Income SP - 26 LP - 35 DO - 10.3905/jfi.2016.25.3.026 VL - 25 IS - 3 AU - Sana Horchani Y1 - 2015/12/31 UR - https://pm-research.com/content/25/3/26.abstract N2 - This article examines the effect of default and conversion option on bond duration. Empirical evidence shows that default risk decreases bond duration, excluding the case of investment-grade bonds with a short-term maturity. Furthermore, controlling for default risk effect, the conversion option decreases bond duration for equity-like and mixed bonds. Finally, the joint effect of default and conversion risk decreases bond duration for all convertible bonds.TOPICS: Fixed income and structured finance, options ER -