- Out-of-Stock
Analyzing and Decomposing the Sources of Added-Value of Corporate Bonds [extrait BMI HS_BMI_2014]
- Write a review
€50.00
Tax included
Version numérique PDF
This paper provides a formal analysis of the benefits of corporate bonds, distinguishing between the impact of introducing corporate bonds in performance-seeking portfolios and the impact of introducing corporate bonds in liability-hedging portfolios. We find that corporate bonds are well-suited to improve the interaction between performance and hedging motives, given that they have a well-controlled interest rate risk exposure while providing an access to an equity-like risk premium. They also allow for a more effective hedging of the liabilities when pension obligations are valued at adiscount rate equal to the market yield on AA bonds according to international accounting standards.Keywords: Corporate bonds; Sovereign bonds; Welfare gain.JEL classification: G11; G12.Auteurs :Martellini Lionel
Extrait de la revue BMI HS_BMI_2014
BMIHS_BMI_2014-1116986
New
16 other products in the same category:
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Alpha or not Alpha: The Case of the Hedge Fund Industry
- What Happens “Before the Birth” and “After the Death” of a Hedge Fund?
- Hedge Fund Managers: Luck and Dynamic Assessment
- A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
- Detecting Early Warnings for Hedge Fund Contagion
- Edito
Availability: Out of stock
