JOURNAL ARTICLE
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An Empirical Analysis of Segmented Pricing of Bond Systematic Risk
Benzschawel, Terry | Fu, Liang | Murphy, Austin
Credit and Capital Markets – Kredit und Kapital, Vol. 47 (2014), Iss. 3 : pp. 439–464
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Terry Benzschawel, Managing Director, Bond Portfolio Analysis & Quantitative Strategy, Citi Fixed Income Currency & Commodities, 390 Greenwich Street, 4th Floor, New York, NY 10013.
Liang Fu, Assistant Professor of Accounting, Oakland University, SBA, Rochester, MI 48309-4493.
Austin Murphy, Professor of Finance, Oakland University, SBA, Rochester, MI 48309-4493 (Tel.: 248-370-2125; Fax: 248-370-4275).
Abstract
This research investigates the existence of segmentation in the market for fixed-income securities. Evidence is found of higher yield spreads being required for non-distressed bonds making larger contributions to the risk of pure debt portfolios over the 2003–2011 period. Abnormal returns existed over that time interval for diversified investors taking long (short) positions on such bonds with higher (lower) betas measured against an index of strictly fixed-income securities.
Table of Contents
| Section Title | Page | Action | Price |
|---|---|---|---|
| Terry Benzschawel / Liang Fu / Austin Murphy: An Empirical Analysis of Segmented Pricing of Bond Systematic Risk | 1 |