ON COMPUTING BOND RETURNS: THE EVALUATION OF LOW-GRADE DEBT
Author:
Affiliation:
1. University of Missouri; St. Louis
2. Ball State University
Publisher
Wiley
Subject
Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1475-6803.1994.tb00201.x/fullpdf
Reference15 articles.
1. The anatomy of the high-yield bond market;Altman;Financial Analysts Journal,1987
2. Measuring corporate bond mortality and performance;Altman;Journal of Finance,1989
3. Baskin , E. G. Crooch 1968 Historical rates of return on investments in flat bonds Financial Analysts Journal 95 97
4. Returns and volatility of low-grade bonds;Blume;Journal of Finance,1991
5. Biases in computed returns: An application to the size effect;Blume;Journal of Financial Economics,1983
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1. A hidden Markov chain model for the term structure of bond credit risk spreads;International Review of Financial Analysis;2002-01
2. A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads;SSRN Electronic Journal;1998
3. An examination of the day-of-the-week effect in junk bond returns over business cycles;Review of Financial Economics;1996-12
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