Return reversals in the bond market: evidence and causes
Article Abstract:
The predictability of bond returns based on past returns in the bond market is studied using dealer bid prices to calculate returns. The study found short-term to intermediate-term reversals in investment grade corporate bond returns and evidence indicate that the return reversals for corporate bonds diminish at longer horizons.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2004
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Are embedded calls valuable? Evidence from agency bonds
Article Abstract:
The trends in value of call options embedded in callable agency bonds are analyzed.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2007
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On the importance of systematic risk factors in explaining the cross-section of corporate bond yields spreads
Article Abstract:
The impact of bond yield volatility, on corporate debt, is examined.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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