Xie, Yan Alice; Liu, Sheen; Wu, Chunchi; Anderson, Bing - In: Journal of Banking & Finance 33 (2009) 9, pp. 1700-1708
This paper examines the effects of default risk, call risk, and their interactions on bond duration. We find that call risk decreases durations of default-free bonds, while default risk alone generally decreases durations for risky bonds with only a few exceptions. The joint effect of default...