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An Analytical Model of Bond Risk Differentials

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  • Bierman, Harold
  • Hass, Jerome E.
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    File URL: http://journals.cambridge.org/abstract_S0022109000018895
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 10 (1975)
    Issue (Month): 05 (December)
    Pages: 757-773

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    Handle: RePEc:cup:jfinqa:v:10:y:1975:i:05:p:757-773_01

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    Cited by:
    1. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
    2. Tuvana Pastine & Robert E. Cumby, 2000. "Emerging Market Debt : Measuring Credit Quality and Examining Relative Pricing," Departmental Working Papers 0010, Bilkent University, Department of Economics.
    3. Montmarquette, C. & Dallaire, C., 1980. "Le Rendement des Obligations Provinciales et L'incertitude Politique: une Analyse de Series Chronologiques," Cahiers de recherche 8013, Universite de Montreal, Departement de sciences economiques.
    4. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
    5. Jess B. Yawitz & Kevin J. Maloney & Louis H. Ederington, 1983. "Taxes, Default Risk, and Yield Spreads," NBER Working Papers 1215, National Bureau of Economic Research, Inc.
    6. Thomas A. Lawler, 1978. "Measuring the default risk of bonds using yields to maturity," Working Paper 78-04, Federal Reserve Bank of Richmond.
    7. Kriz, Kenneth A., 2003. "Comparative costs of negotiated versus competitive bond sales: new evidence from state general obligation bonds," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 191-211.
    8. Wu, Chunchi & Yu, Chih-Hsien, 1996. "Risk aversion and the yield of corporate debt," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 267-281, March.
    9. Louis H. Ederington & Jess B. Yawitz & Brian E. Roberts, 1984. "The Informational Content of Bond Ratings," NBER Working Papers 1323, National Bureau of Economic Research, Inc.
    10. Crowder, William J. & Wohar, Mark E., 1999. "The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act," Review of Financial Economics, Elsevier, vol. 8(2), pages 101-119.

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