Table 7 Underpricing statistics for different moneyness classes

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

Moneyness Observations Underpricing
   Mean (in percentage) Standard (in percentage)
<0.5 5794 0.72 2.23
0.5–0.7 10 595 −0.87 2.37
0.7–0.9 19 850 0.51 1.64
0.9–1.1 14 737 0.45 1.12
1.1–1.3 14 379 −0.55 1.89
1.3–1.5 11 631 −0.42 2.04
>1.5 8622 −0.62 1.72
  1. Note: The moneyness is measured by dividing the conversion value through the associated straight bond value. An observation corresponds to a snapshot of the market used to price a convertible bond at a certain valuation date. Underpricing is referred to as the model price minus the market price.