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THE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS · Study

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ArticleTHE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS

Robert A. Jarrow1978

Article1978

THE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS

Robert A. Jarrow

57 citations·0/0 files stored·The Journal of Finance

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Corporate Finance and Governance

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References

1973The Pricing of Options and Corporate Liabilities 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model 1966Equilibrium in a Capital Asset Market 1968

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1986Asset Pricing in a Production Economy with Incomplete Informationarticle · 10 shared references 1979Specification Tests for Portfolio Regression Parameter Stationarity and the Implications for Empirical Researcharticle · 10 shared references 1976The option pricing model and the risk factor of stockarticle · 9 shared references 1976Option pricing when underlying stock returns are discontinuousarticle · 8 shared references 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periodsarticle · 8 shared references 1978ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSIONarticle · 8 shared references

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Year1978

Typearticle

Published1978-09-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations57

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1111/j.1540-6261.1978.tb02061.x

openalex_workW2110125950

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THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964

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