Year: 2014
Author: Benzschawel, Terry, Fu, Liang, Murphy, Austin
Credit and Capital Markets – Kredit und Kapital, Vol. 47 (2014), Iss. 3 : pp. 439–464
Abstract
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.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.47.3.439
Credit and Capital Markets – Kredit und Kapital, Vol. 47 (2014), Iss. 3 : pp. 439–464
Published online: 2014-09
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 26
Keywords: G12 bonds betas yield spreads market segmentation systematic risk
Author Details
| Section Title | Page | Action | Price |
|---|---|---|---|
| Terry Benzschawel / Liang Fu / Austin Murphy: An Empirical Analysis of Segmented Pricing of Bond Systematic Risk | 1 |