Table 6 Underpricing statistics for different maturity classes

From: A simple and precise method for pricing convertible bond with credit risk

Maturity Observations Underpricing
   Mean (in percentage) Standard (in percentage) Maximum (in percentage) Minimum (in percentage)
⩽8 years 82 998 −0.13 1.37 0.79 −1.08
>8 years 2610 1.67 2.03 2.24 0.58
  1. Note: An observation corresponds to a price snapshot of a convertible bond at a certain valuation date. Underpricing is referred to as the model price minus the market price.