Bond Yields (bond + yield)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%
Distribution within Business, Economics, Finance and Accounting
General & Introductory Finance & Investments46%
General & Introductory Economics33%

Kinds of Bond Yields

  • government bond yield
    		•

    Selected Abstracts

    Discussion of An International Analysis of Earnings, Stock Prices and Bond Yields

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 3-4 2007
    Michael Bowe
    First page of article [source]

    Equity Volatility and Corporate Bond Yields

    THE JOURNAL OF FINANCE, Issue 6 2003
    John Y. Campbell
    This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields. [source]

    The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 3-4 2000
    Richard D.F. Harris
    A number of financial variables have been shown to be effective in explaining the time-series of aggregate equity returns in both the UK and the US. These include, inter alia, the equity dividend yield, the spread between the yields on long and short government bonds, and the lagged equity return. Recently, however, the ratio between the long government bond yield and the equity dividend yield , the gilt-equity yield ratio , has emerged as a variable that has considerable explanatory power for UK equity returns. This paper compares the predictive ability of the gilt-equity yield ratio with these other variables for UK and US equity returns, providing evidence on both in-sample and out-of-sample performance. For UK monthly returns, it is shown that while the dividend yield has substantial in-sample explanatory power, this is not matched by out-of sample forecast accuracy. The gilt-equity yield ratio, in contrast, performs well both in-sample and out-of-sample. Although the predictability of US monthly equity returns is much lower than for the UK, a similar result emerges, with the gilt-equity yield ratio dominating the other variables in terms of both in-sample explanatory power and out-of-sample forecast performance. The gilt-equity yield ratio is also shown to have substantial predictive ability for long horizon returns. [source]

    A monetary real-time conditional forecast of euro area inflation,

    JOURNAL OF FORECASTING, Issue 4 2010
    Sylvia Kaufmann
    Abstract Based on a vector error correction model we produce conditional euro area inflation forecasts. We use real-time data on M3 and HICP, and include real GPD, the 3-month EURIBOR and the 10-year government bond yield as control variables. Real money growth and the term spread enter the system as stationary linear combinations. Missing and outlying values are substituted by model-based estimates using all available data information. In general, the conditional inflation forecasts are consistent with the European Central Bank's assessment of liquidity conditions for future inflation prospects. The evaluation of inflation forecasts under different monetary scenarios reveals the importance of keeping track of money growth rate in particular at the end of 2005. Copyright © 2009 John Wiley & Sons, Ltd. [source]

    What drives spreads in the euro area government bond market?

    ECONOMIC POLICY, Issue 58 2009
    Simone Manganelli
    Summary Spreads between euro area government bond yields are related to short-term interest rates, which are in turn related to market liquidity, to cyclical conditions, and to investors' incentives to take risk. In theory, lower interest rates are associated with lower degrees of risk aversion and smaller government bond spreads. Empirically, the Eurosystem's short-term interest rates are positively related to those spreads, which our econometric model finds to include significant and policy-relevant default risk and liquidity risk components. , Simone Manganelli and Guido Wolswijk [source]

    Split Bond Ratings and Information Opacity Premiums

    FINANCIAL MANAGEMENT, Issue 2 2010
    Miles Livingston
    This paper examines the relationship between split bond ratings and bond yields at the notch level for newly issued corporate bonds. We find that split rated bonds average a 7-basis-point yield premium over nonsplit rated bonds of similar credit risk. The yield premium increases from 5 basis points for one-notch splits to 15 (20) basis points for two-notch (three-notch) splits. These findings indicate that investors demand higher yields for split rated bonds to compensate for the information opacity of such bonds. In addition, the yield premium for split rated bonds is higher during economic recessions, indicating investors are more risk averse during economic downturns. Consequently, split ratings impose higher borrowing costs for firms, especially during economic downturns. [source]

    Estimation Uncertainty and the Equity Premium,

    INTERNATIONAL REVIEW OF FINANCE, Issue 3 2009
    HONG YANArticle first published online: 25 AUG 200
    ABSTRACT This paper studies a dynamic equilibrium model of asset prices in a partially observable exchange economy. It shows that the precautionary savings motive in response to estimation uncertainty can dominate the risk aversion effect, resulting in the reduction of the equity premium over short horizons. This exacerbates the equity premium puzzle. Over longer holding horizons, however, estimation uncertainty does induce higher risk premiums on equity over risk-free coupon bonds of matching maturities, as long-term bond yields are lowered due to the precautionary savings effect. [source]

    Moody's and S&P Ratings: Are They Equivalent?

    JOURNAL OF MONEY, CREDIT AND BANKING, Issue 7 2010
    Conservative Ratings, Split Rated Bond Yields
    bond ratings; bond yields; reputation capital We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split rated bonds with superior Moody's ratings are about 8 basis points lower than yields on split rated bonds with superior S&P ratings. This suggests that investors differentiate between the two ratings and assign more weight to the ratings from Moody's, the more conservative rating agency. Moody's becomes more conservative after 1998 and the impact of a superior Moody's rating becomes stronger. Furthermore, the differential impact of the two ratings is more pronounced for the more opaque Rule 144A issues. [source]

    Sovereign Risk in the Classical Gold Standard Era,

    THE ECONOMIC RECORD, Issue 271 2009
    PRASANNA GAI
    This paper reassesses the determinants of sovereign bond yields during the classical gold standard period (1872,1913) using the pooled mean group methodology. We find that, rather than lowering risk premia directly, membership of the gold standard hastened the convergence of sovereign bond spreads to their long-run equilibrium levels. Our results also suggest that investors looked beyond the gold standard to country-specific fundamental factors when pricing and differentiating sovereign risk. [source]

    Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

    THE JOURNAL OF FINANCE, Issue 1 2006
    HAITAO LI
    ABSTRACT Most existing dynamic term structure models assume that interest rate derivatives are redundant securities and can be perfectly hedged using solely bonds. We find that the quadratic term structure models have serious difficulties in hedging caps and cap straddles, even though they capture bond yields well. Furthermore, at-the-money straddle hedging errors are highly correlated with cap-implied volatilities and can explain a large fraction of hedging errors of all caps and straddles across moneyness and maturities. Our results strongly suggest the existence of systematic unspanned factors related to stochastic volatility in interest rate derivatives markets. [source]

    Equity Volatility and Corporate Bond Yields

    THE JOURNAL OF FINANCE, Issue 6 2003
    John Y. Campbell
    This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields. [source]

    Explaining credit default swap premia

    THE JOURNAL OF FUTURES MARKETS, Issue 1 2004
    Christoph Benkert
    This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option-implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the context of corporate bond yields. Using panel data of credit default swaps on 120 international firms from 1999 to mid-2002, it becomes evident that option-implied volatility is a more important factor in explaining variation in credit default swap premia than historical volatility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:71,92, 2004 [source]

    Influence of ADB Bond Issues and US Bonds on Asian Government Bonds*

    ASIAN ECONOMIC JOURNAL, Issue 4 2007
    Masahiro InoguchiArticle first published online: 2 JAN 200
    F33; F35; F36; G12; G15 This article examines whether there is a correlation between the government bond markets of Asian countries and those of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia, the present paper uses the daily data of government bonds to examine two questions: whether government bond yields in Hong Kong, Singapore and Thailand correlate with US government bond yields, and whether bonds in these Asian countries are influenced by ADB bond issues. The present study analyzes these issues by demonstrating the fluctuations in bond yields and carrying out an estimation using the exponential generalized autoregressive conditional heteroskedasticity model. The results substantiate that there is indeed a correlation between Asian and US bond markets, and that ADB bond issuance in local markets can contribute to the development of Asian bond markets. [source]

    Foreign Bond Investment and the Yield Curve,

    ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 1 2009
    Sangwon Suh
    Abstract Market participants have argued that the yield curve in the Korean bond market has been increasingly flattened since 2007 caused partly by foreign investors' rapidly growing investment in Korean bond market, motivated to take advantage of market imperfections seeking riskless profit making opportunities. To analyze how much foreign bond investments have affected the bond yields in Korea, in this paper I utilize a stylized affine term structure model that has an observable factor related with foreign bond investments as well as latent factors. I find supportive evidence for the argument by market participants that investment by foreigners has been an important factor behind the flattening of the yield curve since 2007. Taking out the effects of foreign bond investment on the yields, I observe much a weakened yield flattening phenomenon. [source]