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An Empirical Study of Bond Market Transactions
Short histories of dealer-market and exchange-based bond transactions in machine-readable form have recently become available. They permitted us to provide for the first time direct estimation of theExpand
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Bond Returns, Liquidity, and Missing Data
This paper examines holding period returns to constant duration portfolios of U.S. Government notes and bonds, and measures the return premium generated by liquidity differences in bonds. TheExpand
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Managerial Agency and Bond Covenants
Based on an analysis of the agency risk for bondholders from managerial entrenchment and fraud, we derive and test refutable hypotheses about the influence of managerial agency risk on bondExpand
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Announcements of successful leveraged buyouts (LBOs) during January 1985 to April 1989 caused a significantly negative return on outstanding publicly traded nonconvertible bonds. Yet the averageExpand
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This paper attempts to characterize liquidity-driven noise in the CRSP Government Bond price data set by comparing these price records to the independently collected Shearson Lehman Brothers (SLB)Expand
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Some Empirical Estimates of the Risk Structure of Interest Rates
This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of the authors' estimates of default-risk premia is the resemblance of their timeExpand
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Underpricing in the Corporate Bond Market
This article examines underpricing of initial public offerings (IPOs) and seasoned offerings in the corporate bond market. We investigate whether underpricing represents a solution to an informationExpand
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The Pricing of Interest‐Rate Risk: Evidence from the Stock Market
This paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest-rate changes. A two-factor APT model with the market and changesExpand
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Measuring Potential GSE Funding Advantages
As the size of government sponsored enterprises (GSE) has grown, attention has focused on the relationship between the federal government and the GSEs, with particular attention focused on estimatingExpand
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