Martin J. Gruber

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The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the(More)
We examine whether ̄rms use foreign currency derivatives for hedging or for speculative purposes. Using the sample of all S&P 500 non ̄nancial ̄rms for 1993, we ̄nd strong evidence that ̄rms use foreign currency derivatives for hedging; the use of derivatives signi ̄cantly reduces the exchange-rate risk ̄rms face. We also ̄nd that the decision to use(More)
This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database ~CRSP, 1998! and compares returns contained in it to those in Morningstar. The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP, return data is missing for many and the characteristics of these(More)
A number of articles in financial economics have used quarterly or semi-annual mutual fund holdings data to test hypotheses about investment manager behavior. This article reexamines four well-known hypotheses in finance to determine whether the results of prior tests of these hypotheses remain valid when higher frequency (monthly) holdings data are(More)
To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pairwise correlations and individual pair-wise differences from the average(More)