Pricing bonds is generally one of the earliest applications of time value of money in a finance curriculum. A bond … security. This paper works through the pedagogy of bond pricing and extends the traditional bond pricing formula in a manner … about bond pricing and the time value of money …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split …

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling … estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique … the conditional distribution of excess bond returns is affected by a state variable that does not lie in the span of the …

Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns …

This article derives a new formula for the yield elasticity of bond price. The formula provides accurate results …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …