Artikel
An Empirical Analysis of Segmented Pricing of Bond Systematic Risk
This research investigates the existence of segmentation in the market for fixed-income securities. Evidence is found of higher yield spreads being required for non-distressed bonds making larger contributions to the risk of pure debt portfolios over the 2003–2011 period. Abnormal returns existed over that time interval for diversified investors taking long (short) positions on such bonds with higher (lower) betas measured against an index of strictly fixed-income securities.
- Sprache
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Englisch
- Erschienen in
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Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 47 ; Year: 2014 ; Issue: 3 ; Pages: 439-464
- Klassifikation
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
bonds
betas
yield spreads
market segmentation
systematic risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Benzschawel, Terry
Fu, Liang
Murphy, Austin
- Ereignis
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Veröffentlichung
- (wer)
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Duncker & Humblot
- (wo)
-
Berlin
- (wann)
-
2014
- DOI
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doi:10.3790/ccm.47.3.439
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Benzschawel, Terry
- Fu, Liang
- Murphy, Austin
- Duncker & Humblot
Entstanden
- 2014
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