An edition of Corporate bond pricing and different sources of asset return volatility (2003)

Corporate bond pricing and different sources of asset return volatility

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Corporate bond pricing and different sources ...
George Chacko, George Chacko
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Last edited by MARC Bot
September 10, 2024 | History
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An edition of Corporate bond pricing and different sources of asset return volatility (2003)

Corporate bond pricing and different sources of asset return volatility

by

This paper presents a pricing model for defaultable bonds. Default is defined by a cash flow, not value, covenant. The cash flow (total distributions) yield is stochastic. We find that different sources of volatility, cash flow versus discount rate news, affect prices asymmetrically. Controlling for total asset return volatility, cash flow volatility is still important for bond pricing.

Publish Date
Publisher
Division of Research, Harvard Business School
Language
English
Pages
14

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Cover of: Corporate bond pricing and different sources of asset return volatility
Corporate bond pricing and different sources of asset return volatility
2003, Division of Research, Harvard Business School
in English
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Book Details

Edition Notes

"Draft date: September 23, 2002."

Includes bibliographical references.

Published in
Boston]
Series
Working paper / Division of Research, Harvard Business School -- 03-046, Working paper (Harvard Business School. Division of Research) -- 03-046

The Physical Object

Pagination
14 p.
Number of pages
14

ID Numbers

Open Library
OL53771834M
OCLC/WorldCat
50908568

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harvard_bibliographic_metadata record

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