The investment performance of low-grade bond funds
Article Abstract:
This study extends the literature on the pricing of low-grade bonds by examining the performance of low-grade bond funds. The findings reveal that over the long run low-grade bond fund returns are approximately equal to the returns provided by an index of high-grade bonds. The relative risks of high and low-grade bonds are more difficult to assess. Because of their shorter durations, low-grade bonds are less sensitive to movements in interest rates than high-grade bonds. On the other hand, low-grade bonds are much more sensitive to changes in stock prices than high-grade bonds. When adjusted for risk using a simple two-factor model, the returns on low-grade bond funds are not statistically different from the returns on high-grade bonds. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1991
User Contributions:
Comment about this article or add new information about this topic:
The effect of bond rating agency announcements on bond and stock prices
Article Abstract:
This paper examines daily excess bond returns associated with announcements of additions to Standard and Poor's Credit Watch List, and to rating changes by Moody's and Standard and Poor's. Reliably nonzero average excess bond returns are observed for additions to Standard and Poor's Credit Watch List when an expectations model is used to classify additions as either expected or unexpected. Bond price effects are also observed for actual downgrade and upgrade announcements by rating agencies. Excluding announcements with concurrent disclosures weakens the results for downgrades, but not upgrades. The stock price effects of rating agency announcements are also examined and contrasted with the bond price effects. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
The impact of seniority and security covenants on bond yields: a note
Article Abstract:
Many empirical studies use bond ratings, despite their shortcomings, as a control for risk in studying the impact of covenants and other factors on bond yields. By using a different test design, difficulties inherent in bond ratings are alleviated in this study. The impact of seniority-security on matched pairs of nonconvertible bonds issued by the same company, similar in all respects except for the seniority and security covenants, is studied. Results support the view that seniority - security covenants are rationally priced.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The performance impact of strategy-manager coalignment: an empirical examination. Organizational ownership, competitive intensity, and firm performance: an empirical study of the Indian manufacturing sector
- Abstracts: The effect of voluntary sell-off announcements on shareholder wealth. The Effect of Voluntary Spin-Off Announcements on Shareholder Wealth
- Abstracts: The Wiltshire Experience. Nine face capping as budget plans emerge
- Abstracts: Criteria for Selecting a Treasury Management System. So you want to manage in the big leagues?
- Abstracts: The structure of asset prices and socially useless - useful information. Asset price volatility, bubbles, and process switching