The risk premia in municipal bond yields:An application of the ARCH-M model". Roy D. Adams,,Masoud Moghaddam. Journal of Macromarketing . 1991Adams, R. and M. Moghaddam (1991), "The Risk Premia in Municipal Bonds: An Application of the ARCH-M Model". Journal of Macroeconomics 13(4)...
This article examines managerial ownership structure and return premia on corporate bonds. It is argued that when managerial ownership is low, an increase ... ES Bagnani,NT Milonas,SNG Travlos - 《Journal of Finance》 被引量: 220发表: 1994年 The pricing of hedging longevity risk with the he...
This literature includes studies examining the response of housing transaction prices or volumes, mortgage lending, municipal bonds, and insurance premia to current flood risk (Bosker et al., 2019; Atreya and Czajkowski, 2019), hurricanes (Bin and Landry, 2013; Ortega and Taṣpınar, 2018;...
ifpricesofcorporatebondsreflectcompensationforothersourcesofrisksuchasilliquidity,,itisalsonotedthatthelevelsofcreditspreadsthatobtainundermoststructuralmodelsarenegligibleforveryshortmaturities,,(2002)documentsthevirtualimpossibilityofreconcilinghistoricalcreditratingtransitionmatrices7toshort-termyieldspreaddata,,,whenthe...
Risk premiaVolatilityTrading costsPrice transparencyWe contribute to the literature on dealer markups and price transparency for municipal bonds by connecting markups to underwriters' price risk. We find that deaBergstresser, DanielHerb, Patrick
P Liu,FJ Seyyed.The impact of socioeconomic variables and credit ratings on municipal bond risk premia. J Bus Finance Account . 1991LIU, P. & SEYYED, F. (1991). The impact of socioeconomic variables and credit rating on municipal bond risk premia. Journal of business finance and accounting...
A sample of insured municipal bonds is investigated to determine whether bond insurance premia can predict the future credit rating transition, the proxy for bond credit risk. The results show that municipal bond insurance premia, conditional on bond credit ratings and other explanatory variables, ...
(2013a, 2014a) proposed and finalized an LCR rule which specifies the minimum level and potential types of liquid assets a bank must hold based on its estimated liquidity needs over a 30-day period. The rule's HQLA rating of investment quality municipal bonds was revised by the OCC et al...