Factors Affecting Seasoned Corporate Bond Prices

Calvin M. Boardman · Richard W. McEnally

86 citations0/0 files storedJournal of Financial and Quantitative Analysis

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

Abstract

In this paper prices of corporate bonds are decomposed into elements associated with (1) the pure price of time, (2) the default risk of the agency rating class to which the bond is assigned, and (3) the unique risk and ancillary features of the bond itself.

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References

1959Determinants of Risk Premiums on Corporate Bonds 1976ESTIMATION AND USES OF THE TERM STRUCTURE OF INTEREST RATES 1978NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL 1975DURATION AND RISK ASSESSMENT FOR BONDS AND COMMON STOCKS

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1992INSTITUTIONAL BOND PRICING AND INFORMATION ARRIVAL: THE CASE OF BOND RATING CHANGES 2004A Reconsideration of the Risk Sensitivity of U.S. Banking Organization Subordinated Debt Spreads: A Sample Selection Approach 1990Time-Varying Return and Risk in the Corporate Bond Market 2011The impact of multi-dimensional corporate transparency on us firms’ credit ratings and cost of capital 2010Pricing of off‐balance sheet debt: how do bond market participants use the footnote disclosures on operating leases and postretirement benefit plans?1986Corporate Bond Price Data Sources and Return/Risk Measurement 2000Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis 1990Two-Step Estimation of Linear Models With Ordinal Unobserved Variables: The Case of Corporate Bonds

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