Arbeitspapier
The bond agio premium
Bonds issued in high and low interest-rate environments often list at different prices despite very similar characteristics. From a risk-neutral investor's perspective, higher current prices imply higher losses in case of default, which must be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices. Higher premia for lower rating buckets imply that different estimates for US dollar- and euro-denominated bonds are consistent with different fractions of sovereign and corporate debt.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2313
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Bankruptcy; Liquidation
- Thema
-
Bond agio premium
Bond pricing
Empirical asset pricing
Fixed income factor investing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Güntner, Jochen
Karner, Benjamin
- Ereignis
-
Veröffentlichung
- (wer)
-
Johannes Kepler University of Linz, Department of Economics
- (wo)
-
Linz
- (wann)
-
2023
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Arbeitspapier
Beteiligte
- Güntner, Jochen
- Karner, Benjamin
- Johannes Kepler University of Linz, Department of Economics
Entstanden
- 2023
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