{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/71367"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/71367","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Study of the Accounting Classification of Convertible Securities: A Market Analysis","abstract":"This research project develops and empirically tests standards of convertible security classification that are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional contractual form classification scheme. In addition to classification issues, this endeavor tests the appropriateness of the assumption of systematic risk stationarity for convertible securities.","abstract_html":"This research project develops and empirically tests standards of convertible security classification that are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional contractual form classification scheme. In addition to classification issues, this endeavor tests the appropriateness of the assumption of systematic risk stationarity for convertible securities.","abstract_has_math":false,"creators":["Beatty, Randolph Paul"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Accountancy","degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014-12-16T06:41:04Z","date_published":"2014-12-16T06:41:04Z","updated_at":"2026-07-22T22:26:04Z","subjects":["Business Administration, Accounting"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(UMI)AAI8302802"],"render_values":[{"text":"(UMI)AAI8302802","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/71367","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Beatty, Randolph Paul"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2014-12-16T06:41:04Z","10000-01-01","1982"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Accountancy"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Business Administration, Accounting"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/71367","(UMI)AAI8302802"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["This research project develops and empirically tests standards of convertible security classification that are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional contractual form classification scheme. In addition to classification issues, this endeavor tests the appropriateness of the assumption of systematic risk stationarity for convertible securities.","Two sets of hypotheses are tested employing structural stationarity tests. The first set of hypotheses are concerned with the structural stationarity of the market model's parameters. Four ordering criteria: time; price; premium of price above bond value; and conversion value/call price are justified. Three tests of structural change are employed. Together, this leads to twelve separate tests of structural stationarity of the sample of convertible bonds and convertible preferred stocks. The second set of hypotheses addresses the issue of cross-sectional relationships between the accounting (and interest rate) risk measures and the systematic risk measure of convertible securities employing the Chow (1960) ANCOVA design. These later tests are concerned with the empirical differentiation between debt and equity.","From the results of Quandt (1958) and Chow (1960), structural stationarity of the linear process has been rejected in a substantial percentage of observations. This suggests that estimates of the systematic risk of convertible securities may be misspecified for linear models that assume a stationary process. On the other hand, the Farley, Hinich and McGuire (1970) test suggests that the hypothesized uniform probability of beta change was a misspecification of the model of the convertible security return generation process.","Selected accounting risk measures have been shown to be related to the upper quartile conversion value/call price partitioned convertible security's systematic risk estimate. On the other hand, the interest rate risk measures have been shown to be related to the lower quartile conversion value/cell price partitioned convertible security's systematic risk estimate. Thus, the level of the statistic conversion value/call price is indicative of the type of relationship observed.","Made available in DSpace on 2014-12-16T06:41:04Z (GMT). No. of bitstreams: 1 8302802.pdf: 5740884 bytes, checksum: 61d49a154732468a40282acb8a510039 (MD5) Previous issue date: 1982","Embargo set by: Seth Robbins for item 71533 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","U of I Only","153 p.","Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1982."]},{"key":"dc:title","label":"Title","values":["Study of the Accounting Classification of Convertible Securities: A Market Analysis"]}]}],"canonical_facts":{"dc:creator":["Beatty, Randolph Paul"],"dc:date":["2014-12-16T06:41:04Z","10000-01-01","1982"],"dc:description":["This research project develops and empirically tests standards of convertible security classification that are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional contractual form classification scheme. In addition to classification issues, this endeavor tests the appropriateness of the assumption of systematic risk stationarity for convertible securities.","Two sets of hypotheses are tested employing structural stationarity tests. The first set of hypotheses are concerned with the structural stationarity of the market model's parameters. Four ordering criteria: time; price; premium of price above bond value; and conversion value/call price are justified. Three tests of structural change are employed. Together, this leads to twelve separate tests of structural stationarity of the sample of convertible bonds and convertible preferred stocks. The second set of hypotheses addresses the issue of cross-sectional relationships between the accounting (and interest rate) risk measures and the systematic risk measure of convertible securities employing the Chow (1960) ANCOVA design. These later tests are concerned with the empirical differentiation between debt and equity.","From the results of Quandt (1958) and Chow (1960), structural stationarity of the linear process has been rejected in a substantial percentage of observations. This suggests that estimates of the systematic risk of convertible securities may be misspecified for linear models that assume a stationary process. On the other hand, the Farley, Hinich and McGuire (1970) test suggests that the hypothesized uniform probability of beta change was a misspecification of the model of the convertible security return generation process.","Selected accounting risk measures have been shown to be related to the upper quartile conversion value/call price partitioned convertible security's systematic risk estimate. On the other hand, the interest rate risk measures have been shown to be related to the lower quartile conversion value/cell price partitioned convertible security's systematic risk estimate. Thus, the level of the statistic conversion value/call price is indicative of the type of relationship observed.","Made available in DSpace on 2014-12-16T06:41:04Z (GMT). No. of bitstreams: 1 8302802.pdf: 5740884 bytes, checksum: 61d49a154732468a40282acb8a510039 (MD5) Previous issue date: 1982","Embargo set by: Seth Robbins for item 71533 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","U of I Only","153 p.","Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1982."],"dc:identifier":["http://hdl.handle.net/2142/71367","(UMI)AAI8302802"],"dc:subject":["Business Administration, Accounting"],"dc:title":["Study of the Accounting Classification of Convertible Securities: A Market Analysis"],"dc:type":["text"],"thesis:degree_discipline":["Accountancy"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:26:04Z"}