Hostname: page-component-586b7cd67f-t7czq Total loading time: 0 Render date: 2024-11-26T07:31:58.459Z Has data issue: false hasContentIssue false

Factors Affecting Seasoned Corporate Bond Prices

Published online by Cambridge University Press:  06 April 2009

Extract

In this paper prices of corporate bonds are decomposed into elements associated with (1) the pure price of time, (2) the default risk of the agency rating class to which the bond is assigned, and (3) the unique risk and ancillary features of the bond itself.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1981

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Boquist, John A.; Racette, George A.; and Schlarbaum, Gary G.. “Duration and Risk Assessment for Bonds and Common Stocks.” Journal of Finance, Vol. 30 (12 1975), pp. 13601365.CrossRefGoogle Scholar
[2]Bradley, Stephen P., and Crane, Dwight D.. “Management of Commercial Bank Government Portfolios: An Optimization Approach under Uncertainty.” Journal of Bank Research, Vol. 4 (Spring 1973), pp. 1830.Google Scholar
[3]Carleton, Willard T., and Cooper, Ian A.. “Estimation and Uses of the Term Structure of Interest Rates.” Journal of Finance, Vol. 31 (09 1976), pp. 10671083.CrossRefGoogle Scholar
[4]Cohan, Avery B.Yields on Newly Underwritten Corporate Bonds, 1935–1958.” Journal of Finance, Vol. 27 (12 1962), pp. 585605.Google Scholar
[5]“The Ex Ante Quality of Direct Placements, 1951–1961.” In Essays in Interest Rates, Vol. II, Guttentag, Jack, Editor. National Bureau of Economic Research (1971), pp. 281336.Google Scholar
[6]Cohen, Kalman J.; Kramer, Robert L.; and Waugh, W. Howard. “Regression Yield Curves for U.S. Government Securities.” Management Science, Vol. 13 (12 1966), pp. B168B175.CrossRefGoogle Scholar
[7]Echols, Michael E., and Elliot, Jan Walter. “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates.” Journal of Financial and Quantitative Analysis, Vol. 11 (03 1976), pp. 87114.CrossRefGoogle Scholar
[8]Fair, Ray, and Malkiel, Burton. “The Determination of Yield Differentials between Debt Instruments of the Same Maturity.” Journal of Money, Credit, and Banking, Vol. 3 (11 1971), pp. 733749.CrossRefGoogle Scholar
[9]Fisher, Lawrence. “Determinants of Risk Premiums on Corporate Bonds.” Journal of Political Economy, Vol. 69 (06 1959), pp. 217237.CrossRefGoogle Scholar
[10]Friend, Irwin; Westerfield, Randolph; and Granito, Michael. “New Evidence on the Capital Asset Pricing Model.” Journal of Finance, Vol. 33 (06 1978), pp. 903920.CrossRefGoogle Scholar
[11]Johnson, Ramon E.Term Structure of Corporate Bond Yields as a Function of Risk of Default.” Journal of Finance, Vol. 22 (05 1967), pp. 313345.CrossRefGoogle Scholar
[12]Kaufman, George G. “Duration, Planning Period, and Tests of the Capital Asset Pricing Model.” Unpublished paper presented at the Eastern Finance Association Annual Meetings in Atlanta, Georgia, 04 2022, 1978.Google Scholar
[13]Livingston, Miles A.Duration and Risk Assessment for Bonds and Common Stocks: A Note.” Journal of Finance, Vol. 33 (03 1978), pp. 293295.Google Scholar
[14]Percival, John. “Corporate Bonds in a Market Model Context.” Journal of Business Research, Vol. 2 (10 1974), pp. 461468.CrossRefGoogle Scholar
[15]Pye, Gordon. “The Value of Call Deferment on a Bond: Some Empirical Results.” Journal of Finance, Vol. 22 (12 1967), pp. 623636.Google Scholar
[16]Silvers, J. B.An Alternative to the Yield Spread as a Measure of Risk.” Journal of Finance, Vol. 28 (09 1973), pp. 933955.CrossRefGoogle Scholar