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Bond Price Volatility and Term to Maturity: A Generalized Respecification

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  • Hopewell, Michael H
  • Kaufman, George G

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  • Hopewell, Michael H & Kaufman, George G, 1973. "Bond Price Volatility and Term to Maturity: A Generalized Respecification," American Economic Review, American Economic Association, vol. 63(4), pages 749-753, September.
    • Handle: RePEc:aea:aecrev:v:63:y:1973:i:4:p:749-53
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    Cited by:

    1. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    2. Benjamin M. Friedman, 1981. "The Roles of Money and Credit in Macroeconomic Analysis," NBER Working Papers 0831, National Bureau of Economic Research, Inc.
    3. Auray, Stéphane & Eyquem, Aurélien, 2019. "On The Role Of Debt Maturity In A Model With Sovereign Risk And Financial Frictions," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 2114-2131, July.
    4. K. Chau & S. Wong & C. Yiu, 2005. "Adjusting for Non-Linear Age Effects in the Repeat Sales Index," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 137-153, September.
    5. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    6. Benjamin M. Friedman, 1980. "Effects of Shifting Saving Patterns on Interest Rates and Economic Activity," NBER Working Papers 0587, National Bureau of Economic Research, Inc.
    7. G. J. Santoni, 1984. "Interest rate risk and the stock prices of financial institutions," Review, Federal Reserve Bank of St. Louis, vol. 66(Aug), pages 12-20.
    8. Francisco Sotos, 2003. "Interest risk and default risk: A conditional volatility study," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(1), pages 56-63, February.
    9. Duane Stock, 1985. "Price Volatility Of Municipal Discount Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 1-14, March.
    10. Desmet, Klaus, 2000. "Accounting for the Mexican banking crisis," Emerging Markets Review, Elsevier, vol. 1(2), pages 165-181, September.
    11. Olivier de La Grandville, 2001. "Immunization of Bond Portfolios: Some New Results," Economics Discussion / Working Papers 01-26, The University of Western Australia, Department of Economics.
    12. Verner, Robert & Tkáč, Michal, 2023. "On the predictability of bonds," Finance Research Letters, Elsevier, vol. 57(C).
    13. Alden L. Toevs, 1983. "Gap management: managing interest rate risk in banks and thrifts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-35.
    14. Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020. "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 154-165, March.
    15. Chenghsien Tsai, 2009. "The Term Structure of Reserve Durations and the Duration of Aggregate Reserves," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 419-441, June.
    16. Sundell, Paul & Denbaly, Mark, 1992. "Modeling Long-Term Government Bond Yields: An Efficient Market Approach," Staff Reports 278623, United States Department of Agriculture, Economic Research Service.
    17. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.
    18. Tom Barnes, 1985. "Markowitz Allocation–Fixed Income Securities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 181-191, September.
    19. RH Gilmer Jr. & Duane R. Stock, 1988. "Yield Volatility Of Discount Coupon Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 189-200, September.

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