Corporate Bond Pricing and the Effects of Endogenous Default and Call Options
Recent structural models for valuing callable corporate bonds show that both callability and default options have important implications for the interest-rate sensitivity of yield spreads and the bond duration. Special attention is given to the interaction between the two risks. In this paper we test the main implications of these models. Specifically, we examine the interest-rate elasticity of the call spread and that of the default spread, allowing for interaction between both spreads. Furthermore, we examine the impact of both risks and their interaction on the effective duration of corporate bonds. We also test theoretical predictions regarding corporate bond sensitivity to firm value. Our findings support the predictions of the theory for bonds carrying a standard fixedprice call option and those carrying the newer make-whole option.
Gady Jacoby Ilona Shiller
I.H.Asper School of Business The University of Manitoba Faculty of Business Administration The University of New Brunswick
国际会议
大连
英文
1-47
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）