Coupon Effects on Corporate Bonds: <i>Pricing, Empirical Duration, and Spread Convexity</i>

Hyman, Jay; Dor, Arik Ben; Dynkin, Lev; Horowitz, David; Xu, Zhe

doi:10.3905/jfi.2014.24.3.052

Cited by 1 publication

(1 citation statement)

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“…Different types of bonds to understand which type of bond will cater to different needs of the investor. An extensive research was carried out to examine if the coupon of the bonds affect the pricing, empirical duration (sensitivity to changes in treasury yields) and the spread (HYMAN, DOR, DYNKIN, HOROWITZ, & XU, 2015). A comparative analysis of the spread convexity was made with that of the other bonds from the same issuer and used simple statistical tools to find if these parameters can affect the performance of the bond portfolio as a whole.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysing Indian G-Secs with a Predictive Approach

Thomas

Madhanagopal

Ghosh

2017

UJBM

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The bond movement being observed keenly by the business communities across the world is primarily because of the fact that large organizations require a huge sum of money which cannot be met in the form of bank loans alone. The solution is to raise money from the public by issuing bonds. It is of equal interest to the investors because bonds are fixed income securities. In this market it is imperative to understand the interplay of macroeconomic factors such as inflation levels, interest rates, foreign exchange rates, purchasing power parity, price movements, monetary and fiscal policies. The rationale behind the decision to invest in a particular bond is directly influenced by the present value of the bond. This paper aims to build a model using Panel Data Regression to predict the present value of the bonds by considering the components of the term structure such as interest rates, maturity, bond yield etc.

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Section: Literature Reviewmentioning

confidence: 99%