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Bond Pricing Pedagogy and One-Step Bond Pricing
Arnold, Tom - 2012
Pricing bonds is generally one of the earliest applications of time value of money in a finance curriculum. A bond …
Persistent link: https://www.econbiz.de/10013104140
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The Interest Rate Sensitivity of Tax-Exempt Bonds Under Tax-Neutral Valuation
Kalotay, Andrew - 2014
We explore the effect of taxes on the prices of municipal bonds. Although interest is tax-exempt, the gain resulting … payment, discount munis are significantly more sensitive to interest rates than taxable bonds. For example, currently the …
Persistent link: https://www.econbiz.de/10013053608
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Expectation-Driven Term Structure of Equity and Bond Yields
Zeng, Ming; Zhao, Guihai - 2021
Recent findings on the term structure of equity and bond yields pose serious challenges to existing equilibrium asset pricing models. This paper presents a new equilibrium model to explain the joint historical dynamics of equity and bond yields (and their yield spreads). Equity/bond yields...
Persistent link: https://www.econbiz.de/10013234720
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Expectation-driven term structure of equity and bond yields
Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...
Persistent link: https://www.econbiz.de/10013193433
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Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
Zhao, Guihai - 2021
Some key features in the historical dynamics of U.S. Treasury bond yields – a trend in long-term yields, business cycle movements in short-term yields, and a level shift in yield spreads – pose serious challenges to existing equilibrium asset pricing models. This paper presents a new...
Persistent link: https://www.econbiz.de/10013244575
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Ambiguity, Nominal Bond Yields, and Real Bond Yields
Zhao, Guihai - 2021
distribution makes realized excess returns on long term bonds predictable …
Persistent link: https://www.econbiz.de/10013244576
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Ambiguity, nominal bond yields and real bond yields
Zhao, Guihai - 2018
growth evolve over time under the true distribution, and this difference makes excess returns on long-term bonds predictable …
Persistent link: https://www.econbiz.de/10011864574
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Learning, equilibrium trend, cycle, and spread in bond yields
Zhao, Guihai - 2020 - Last updated: April 7, 2020
Some key features in the historical dynamics of U.S. Treasury bond yields-a trend in long-term yields, business cycle movements in short-term yields, and a level shift in yield spreads-pose serious challenges to existing equilibrium asset pricing models. This paper presents a new equilibrium...
Persistent link: https://www.econbiz.de/10012201422
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What are the driving factors behind the rise of spreads and CDSs of euro-area sovereign bonds? : a FAVAR model for Greece and Ireland
Apergēs, Nikolaos; Mamatzakis, Emmanuel C. - 2012
This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor … recent years. Greece, in particular, is facing an elastic demand for its sovereign bonds that further stretches liquidity … Debt Crisis ; Spreads ; CDS ; FAVAR Model ; Greece and Ireland …
Persistent link: https://www.econbiz.de/10009533553
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What Interest Rate Models to Use? Buy Side Versus Sell Side
Nawalkha, Sanjay K. - 2011
Does the selection of a specific interest rate model to use for pricing, hedging, and riskreturn analysis depend upon whether the user is a buy-side institution or a sell-side dealer bank? Sanjay Nawalkha and Riccardo Rebonato debate this question in this paper and provide some insightful...
Persistent link: https://www.econbiz.de/10013121191