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Underlying Bond Return Predictability by ETF Returns

Hao, Xiaoting - 2020

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

Persistent link: https://www.econbiz.de/10012837666

Bond Volatility and CDS Auctions

Mace, Jennifer - 2020

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This … CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of …

Persistent link: https://www.econbiz.de/10012846414

Decomposing Long Bond Returns : A Decentralized Modeling Approach

Carr, Peter - 2020

This paper develops a decentralized theory that determines the fair value of the yield-to-maturity of a bond or bond …

Persistent link: https://www.econbiz.de/10012848388

Cyberattacks and Impact on Bond Valuation

Iyer, Subramanian R. - 2019

We examine the impact of cyberattacks on bondholder wealth. Unlike stockholders, bondholders do not react in the short-term but do experience negative returns in the one-month event window. Compared to similar firms not subject to cyberattacks, we find that bondholders lost approximately 2% of...

Persistent link: https://www.econbiz.de/10012890112

The Valuation of Fixed Term Securities Lending in a Multi-Curve Framework

Conze, Antoine - 2019

We consider the risk neutral valuation of fixed term securities lending in a multi-curve framework, taking into account the forward basis of each component of the transaction relative to the discount curve, including basis between currencies. We show that a convexity adjustment arises from the...

Persistent link: https://www.econbiz.de/10012891103

Martingale Representation of Bond Price

LE, Truc - 2018

approach to formulating the theoretical price of a zero-coupon bond without the hassle of a change of probability measure - the …

Persistent link: https://www.econbiz.de/10012916868

Sovereign GDP-Linked Bonds

Benford, James - 2016

While the idea of governments issuing financial instruments whose repayments are indexed to gross domestic product (GDP) is not new, the current global backdrop of high sovereign debt coupled with low interest rates and weak and uncertain nominal growth prospects suggests the case for doing so...

Persistent link: https://www.econbiz.de/10012981190

Default Risk for Bonds with a Make Whole Call Provision

Maalaoui Chun, Olfa - 2016

We estimate the default probabilities implicit in the transaction prices of a new type of call provision, the make whole call. The new issuance of make whole callable bonds has supplanted that of traditional callable bonds and noncallable bonds. Make whole callable bonds have strike prices that...

Persistent link: https://www.econbiz.de/10013007621

The Mills Ratio and the Behavior of Redeemable Bond Prices in the Gaussian Structural Model of Corporate Default

Spencer, Peter - 2017

This paper shows that forward default intensities in the Black and Cox (1976) model of corporate default can be expressed in terms of the Mills Ratio (Mills, 1926). The behavior of the forward default intensity and hence the survivorship functions then follows from inequalities that are...

Persistent link: https://www.econbiz.de/10012954783

Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing

Giuricich, Mario - 2017

highlighted in the context of an existing, classical, index-linked catastrophe bond pricing model, and in doing so we specialise …

Persistent link: https://www.econbiz.de/10012955395