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The effects of corporate bond granularity
(Elsevier Science Bv, 2016-02)
We investigate whether and how firms manage their rollover risk by having a dispersed bond maturity structure (granularity). Granularity can be achieved or maintained by frequently issuing sets of bonds with different ...
Debt maturity determinants in Brazil: evidence from private and public corporate borrowings
(2015-05-15)
This study provides an empirical investigation of the determinants of long-term debt maturity in Brazil. We built a unique database that includes privately placed debt and public debt for 308 publicly traded, non-financial ...
Pricing corporate bonds in Brazil: 2000 to 2004
(ELSEVIER SCIENCE INC, 2009)
This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The ...
Bond risk premia and the return forecasting factor
(De Gruyter, 2020-02)
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this ...
A precificação do spread de liquidez no mercado secundário de debêntures
(2007-12-11)
O objetivo desse trabalho é analisar e precificar o prêmio de liquidez exigido pelos investidores nas negociações de debêntures do mercado secundário brasileiro, com base no yield to maturity diário desses papéis. Os testes ...
Optimal maturity of government debt without state contingent bonds
(Universidad Torcuato Di Tella, 2000)
Sovereign-Debt Crises and Floating-Rate Bonds
(Banco Central de Chile, 2023-08-09)
The choice of sovereign-debt maturity in countries at risk of default represents a complex set of competing forces. The tradeoffs reflect the underlying frictions present in international sovereign-debt markets. The primary ...
The illiquidity component of corporate bond spreads
(2017)
We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than ...
Empirical evidence of jump behaviour in the Colombian intraday bond market
(2020-04-03)
Simulations and empirical studies suggest that incorporating a discontinuous jump process in asset pricing models improve volatility forecasting, pricing of instruments, and hedging positions in a portfolio. In this paper ...
Inflation-betting effect and reach-for-yield behavior in Brazilian government bonds
(2018-12-17)
This thesis proposes to verify if there is evidence of an inflation-betting effect in the Brazilian government bonds market and if it interacts with the aggregate supply of government bonds. We propose an empirical study ...