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The valuation of corporate liabilities : theory and tests

Ericsson, Jan (contributor); Reneby, Joel (contributor) - 2001 - [Elektronische Ressource], First version: February 2001, Rev. January 7, 2003

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity … spreads ; default ; structural bond pricing models …

Persistent link: https://www.econbiz.de/10001600071

Towards a general theory of bond markets

Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996

Persistent link: https://www.econbiz.de/10000955624

Bond markets where prices are driven by a general marked point process

Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995

Persistent link: https://www.econbiz.de/10000928616

Do forward markets enhance competition? : experimental evidence

Le Coq, Chloé (contributor); Orzen, Henrik (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2004

Hedging risks is an important rationale for the existence of forward markets. However, Allaz and Vila (1993) show that duopolists can also have a strategic motive to sell forward, irrespective of exogenous uncertainties. Moreover, in their model the possibility of forward trading increases...

Persistent link: https://www.econbiz.de/10001693096