%0 Journal Article %A Sana Horchani %T The Effect of Default and Conversion Options on Bond Duration %D 2015 %R 10.3905/jfi.2016.25.3.026 %J The Journal of Fixed Income %P 26-35 %V 25 %N 3 %X 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 %U https://jfi.pm-research.com/content/iijfixinc/25/3/26.full.pdf