We develop a new method to estimate the interest rate risk of an asset. This method is based on modified duration and is always more accurate than traditional estimation with modified duration. The estimates by this method are close to estimates using traditional duration plus convexity when...

U.S. money market interest rates may be quoted in many different ways. Regardless of the method, however, the amount of the loan, the coupon, and the par value of the loan are the same. The only difference in the methods is how the interest rate is quoted. This multiplicity of ways of quoting...

Many individuals purchase shares in mutual funds as investments. With a lack of evidence supporting performance persistence in fund returns, investors should consider expenses as a fund-selection tool since fund expenses have a definite negative effect on fund returns. One of the largest...

A split bond rating occurs when Moody's and Standard amp; Poors give different ratings to the same issue. We examine 1,277 public industrial bond issues, where 221 have split ratings, issued from 1980 through mid-1993. For split-rated industrial bonds, neither rating agency consistently gives...

The authors examine equity returns of firm issuing public debt between 1980 - 1990 for three years following the debt issue. Bond rating has a strong impact upon the results. Equity returns of industrial issuers of B-rated non-shelf debt significantly underperformed the CRSP market...

This monograph traces the early development of the U.S. Treasury strips market. The stripping of U.S. Treasury securities began in 1982 as a private market. In 1985, the U.S. Treasury began to allow dealers to strip Treasury securities and in 1987 the Treasury permitted reconstitution of strips...

Previous research has shown that fund performance is reduced by higher expense ratios but improved by more active management. Using data for equity mutual funds from 1991-2012, we show that prior studies has overlooked the fact that a high degree of active management magnifies the extremes of...

Securities issued under Rule 144A do not have to file a public registration statement with the Securities and Exchange Commission, but can be sold only to qualified financial institutions. This paper examines industrial and utility bonds issued under Rule 144A. Rule 144A issues are found to have...

We examine the impact of investment banker prestige on underwriter spreads, offering yields, and other expenses for 2,449 nonconvertible industrial debt issues offered during the period 1990 to 1997. We find that higher prestige underwriters charge significantly lower underwriting fees. Offering...

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split rated bonds with superior Moody's ratings are about 8 basis points lower than yields on split rated bonds with superior S&P ratings. This suggests that investors differentiate...