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Krishna Ramaswamy

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Litzenberger, Robert H. & Ramaswamy, Krishna, 1979. "The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 7(2), pages 163-195, June.

    Mentioned in:

    1. Μερισματική πολιτική in Wikipedia (Greek)

Working papers

  1. Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004. "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings 142, Econometric Society.

    Cited by:

    1. Lenz, Rainer, 2010. "Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen [Yield curve analysis]," MPRA Paper 26621, University Library of Munich, Germany.
    2. Yash Sharma, 2017. "Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies," Papers 1705.08022, arXiv.org.

  2. In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan, "undated". "The Valuation of Corporate Fixed Income Securities," Rodney L. White Center for Financial Research Working Papers 32-89, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.
    2. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
    3. Chau-Jung Kuo & Chin-Ming Chen & Chao-Hsien Sung, 2011. "Evaluating guarantee fees for loans to small and medium-sized enterprises," Small Business Economics, Springer, vol. 37(2), pages 205-218, September.
    4. Su-Lien Lu & Kuo-Jung Lee, 2021. "Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan," Sustainability, MDPI, vol. 13(17), pages 1-25, August.
    5. Decamps, J.P., 1992. "Integrating the Risk and Term Structure of Interest Rates," Papers 92.284, Toulouse - GREMAQ.

  3. Daniel B. Nelson & Krishna Ramaswamy, "undated". "Simple Binomial Processes as Diffusion Approximations in Financial Models (Reprint 003)," Rodney L. White Center for Financial Research Working Papers 30-89, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  4. Krishna Ramaswamy & Suresh Sundaresan, "undated". "The Valuation of Floating Rate Instruments - Theory and Evidence," Rodney L. White Center for Financial Research Working Papers 21-85, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.
    2. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
    3. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
    4. Jobst, Andreas A., 2002. "The Pricing puzzle: The default term structure of collateralised loan obligations," CFS Working Paper Series 2002/14, Center for Financial Studies (CFS).
    5. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.
    6. Alex W.H. Chan & Nai-fu Chen, 2006. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence (Published in "Management Science", Vol. 53, No. 11, November 2007, pp. 1793.1814. )," CARF F-Series CARF-F-075, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Hugues Pirotte & Didier Cossin, 1997. "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB 97-001, ULB -- Universite Libre de Bruxelles.
    8. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
    9. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
    10. Kung, James J. & Wu, E-Ching, 2013. "An evaluation of some popular investment strategies under stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 96-108.
    11. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
    12. Alex W.H. Chan & Nai-fu Chen, 2006. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence," CIRJE F-Series CIRJE-F-437, CIRJE, Faculty of Economics, University of Tokyo.
    13. Achla Marathe & Hany A. Shawky, 2003. "The Structural Relation Between Mortgage and Market Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9‐10), pages 1235-1251, December.
    14. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2020. "A martingale representation theorem and valuation of defaultable securities," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1527-1564, October.
    15. Saa-Requejo, Jesus & Santa-Clara, Pedro, 1997. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt3w71g2ch, Anderson Graduate School of Management, UCLA.
    16. Viral V. Acharya & Jennifer N. Carpenter, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1355-1383.
    17. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015. "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
    18. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
    19. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
    20. Gary Gorton, 1991. "The Enforceability of Private Money Contracts, Market Efficiency, and Technological Change," NBER Working Papers 3645, National Bureau of Economic Research, Inc.
    21. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2000. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives," Management Science, INFORMS, vol. 46(1), pages 46-62, January.
    22. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
    23. Isil Erol & Kanak Patel, 2007. "Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method," International Real Estate Review, Global Social Science Institute, vol. 10(1), pages 48-92.
    24. Finnerty, John D., 2015. "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 91-115.
    25. William H. Scott & Arthur L. Houston & A. Quang Do, 1993. "Inflation Risk, Payment Tilt, and the Design of Partially Indexed Affordable Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 1-25, March.
    26. Jobst, Andreas A., 2002. "Loan securitisation: default term structure and asset pricing based on loss prioritisation," LSE Research Online Documents on Economics 24941, London School of Economics and Political Science, LSE Library.
    27. Jyh-Horng Lin & Min-Li Yi, 2005. "Loan Portfolio Swaps and Optimal Lending," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 177-198, January.
    28. Manish Tewari & Pradipkumar Ramanlal, 2021. "Analysis of Floating Rate Bonds and the Firm Characteristics: Evidence from the Stock Price Reaction," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(4), pages 01-11, October.
    29. Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
    30. Fruhwirth, Manfred, 2001. "A pricing model for secondary market yield based floating rate notes subject to default risk," European Journal of Operational Research, Elsevier, vol. 135(2), pages 233-248, December.
    31. Kang, Jangkoo & Kim, Hwa-Sung, 2005. "Pricing counterparty default risks: Applications to FRNs and vulnerable options," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 376-392.

  5. Michael R. Gibbons & Krishna Ramaswamy, "undated". "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Rodney L. White Center for Financial Research Working Papers 8-92, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
    2. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
    3. Hasan, Iftekhar & Sudipto, Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Bank of Finland Research Discussion Papers 15/2002, Bank of Finland.
    4. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
    5. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers 95s-44, CIRANO.
    6. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    7. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August.
    8. Christopher G. Lamoureux & H. Douglas Witte, 2002. "Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross," Journal of Finance, American Finance Association, vol. 57(3), pages 1479-1520, June.
    9. Viceira, Luis & Campbell, John, 2001. "Who Should Buy Long-Term Bonds?," Scholarly Articles 3128709, Harvard University Department of Economics.
    10. Dillen, Hans, 1997. "A model of the term structure of interest rates in an open economy with regime shifts1," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 795-819, September.
    11. Gil Bazo, Javier & Rubio Irigoyen, Gonzalo, 2002. "A Non-Parametric Dimension Test of the Term Structure," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    12. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR model with branching processes in sovereign interest rate modeling," Finance and Stochastics, Springer, vol. 21(3), pages 789-813, July.
    13. Claus Munk, 1999. "Stochastic duration and fast coupon bond option pricing in multi-factor models," Review of Derivatives Research, Springer, vol. 3(2), pages 157-181, May.
    14. David Backus & Silverio Foresi & Chris I. Telmer, 1998. "Discrete-Time Models of Bond Pricing," NBER Working Papers 6736, National Bureau of Economic Research, Inc.
    15. Aït-Sahalia, Yacine & Kimmel, Robert L., 2010. "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, vol. 98(1), pages 113-144, October.
    16. Francesco Drudi & Roberto Violi, 1999. "Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire," Économie et Prévision, Programme National Persée, vol. 140(4), pages 21-34.
    17. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    18. Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
    19. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Post-Print hal-01275397, HAL.
    20. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc.
    21. Chi-Young Choi & Nelson C. Mark & Donggyu Sul, 2004. "Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models," Econometrics 0409005, University Library of Munich, Germany.
    22. Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
    23. Zou, Tao & Chen, Song Xi, 2014. "Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices," MPRA Paper 67073, University Library of Munich, Germany, revised Apr 2015.
    24. Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series 2000-45, Board of Governors of the Federal Reserve System (U.S.).
    25. Christopher M. Bilson & Timothy J. Brailsford & Luke J. Sullivan & Sirimon Treepongkaruna, 2008. "Pricing Bonds in the Australian Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 123-143, June.
    26. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
    27. Backus, D.K. & Foresi, S. & Zin, S.E., 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Papers 95-02, Columbia - Graduate School of Business.
    28. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert F. Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc.
    29. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-042, New York University, Leonard N. Stern School of Business-.
    30. Seungmoon Choi, 2015. "Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 21(4), pages 28-58, December.
    31. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
    32. Fatma Chakroun & Fathi Abid, 2014. "A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 305-333, December.
    33. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
    34. Dahlquist, Magnus, 1996. "On alternative interest rate processes," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1093-1119, July.
    35. Chris Strickland, 1996. "A comparison of diffusion models of the term structure," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 103-123.
    36. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
    37. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
    38. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
    39. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.).
    40. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
    41. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    42. Clark, Ephraim & Lakshmi, Geeta, 2007. "Assymetric information and the pricing of sovereign eurobonds: India 1990-1992," Global Finance Journal, Elsevier, vol. 18(1), pages 124-142.
    43. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
    44. Bossaerts, Peter & Hillion, Pierre, 1997. "Local parametric analysis of hedging in discrete time," Journal of Econometrics, Elsevier, vol. 81(1), pages 243-272, November.
    45. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
    46. Nikolai Dokuchaev, 2017. "A pathwise inference method for the parameters of diffusion terms," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(4), pages 731-743, October.
    47. Berardi, Andrea, 1995. "Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach," Ricerche Economiche, Elsevier, vol. 49(1), pages 51-74, March.
    48. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
    49. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Papers 1602.05541, arXiv.org, revised Feb 2016.
    50. Raj, Mahendra & Sim, Ah Boon & Thurston, David C., 1997. "A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models," Journal of Economics and Business, Elsevier, vol. 49(2), pages 169-192.
    51. Wu, Yangru & Zhang, Hua, 1997. "Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
    52. Robert Faff & Sirimon Treepongkaruna, 2013. "A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 333-352, August.
    53. Nikolaos Panigirtzoglou & James Proudman & John Spicer, 2000. "Persistence and volatility in short-term interest rates," Bank of England working papers 116, Bank of England.
    54. Jiang, George J., 1997. "A generalized one-factor term structure model and pricing of interest rate derivative securities," Research Report 97A34, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

Articles

  1. Choong Tze Chua & Dean Foster & Krishna Ramaswamy & Robert Stine, 2008. "A Dynamic Model for the Forward Curve," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 265-310, January.

    Cited by:

    1. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  2. Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-658.
    See citations under working paper version above.
  3. In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan, 1993. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model," Financial Management, Financial Management Association, vol. 22(3), Fall.

    Cited by:

    1. Pascal Damel & Hoai An Le Thi & Nadège Peltre, 2016. "The challenge in managing new financial risks: adopting an heuristic or theoretical approach," Annals of Operations Research, Springer, vol. 247(2), pages 581-598, December.
    2. Hege, U. & Mella-Barral, P., 1999. "Collateral, Renegotiation and the Value of Diffusely Held Debt," Other publications TiSEM d1806bd7-b34c-4249-b6fd-2, Tilburg University, School of Economics and Management.
    3. Jan Ericsson & Joel Reneby, 1998. "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 143-163.
    4. Junbo Wang & Chunchi Wu & Frank X. Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series 2005-35, Board of Governors of the Federal Reserve System (U.S.).
    5. Claire Gauthier & Sandrine Lardic, 2003. "Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets," Economie & Prévision, La Documentation Française, vol. 159(3), pages 53-69.
    6. Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
    7. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
    8. Albanese, Claudio & Chen, Oliver X., 2006. "Implied migration rates from credit barrier models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 607-626, February.
    9. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.
    10. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
    11. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 59-74.
    12. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Other publications TiSEM 841ad1ef-22f2-4ea8-b19b-5, Tilburg University, School of Economics and Management.
    13. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    14. Marco Realdon, "undated". "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers 03/18, Department of Economics, University of York.
    15. Shin, Dongheon & Kim, Baeho, 2015. "Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 38-61.
    16. Uhrig-Homburg, Marliese, 2005. "Cash-flow shortage as an endogenous bankruptcy reason," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1509-1534, June.
    17. Jean-Paul Décamps & Bertrand Djembissi, 2007. "Switching to a poor business activity: optimal capital structure, agency costs and covenant rules," Annals of Finance, Springer, vol. 3(3), pages 389-409, July.
    18. Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing corporate bonds with interest rates following double square-root process," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-31, September.
    19. Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
    20. Calice, Giovanni & Ioannidis, Christos, 2012. "An empirical analysis of the impact of the credit default swap index market on large complex financial institutions," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 117-130.
    21. International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
    22. Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
    23. Ulrich Erlenmaier & Hans Gersbach, 2014. "Default Correlations in the Merton Model," Review of Finance, European Finance Association, vol. 18(5), pages 1775-1809.
    24. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
    25. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
    26. Ilya A. Strebulaev, 2007. "Do Tests of Capital Structure Theory Mean What They Say?," Journal of Finance, American Finance Association, vol. 62(4), pages 1747-1787, August.
    27. Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
    28. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
    29. Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev, 2010. "Corporate Bond Default Risk: A 150-Year Perspective," NBER Working Papers 15848, National Bureau of Economic Research, Inc.
    30. Cumby, Robert & Pastine, Tuvana, 2001. "Emerging Market Debt: Measuring Credit Quality and Examining Relative Pricing," CEPR Discussion Papers 2866, C.E.P.R. Discussion Papers.
    31. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
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    1. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
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    3. Giorgio Mirone, 2018. "Cross-sectional noise reduction and more efficient estimation of Integrated Variance," CREATES Research Papers 2018-18, Department of Economics and Business Economics, Aarhus University.
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    10. Radnai, Márton, 2002. "Árazási hiba a határidős indexpiacokon [Mispricing on index futures markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 905-927.
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    Cited by:

    1. Nagendra Marisetty & M. Suresh Babu, 2023. "Stocks Abnormal Returns and Rate of Dividend Announcements," International Journal of Business and Management, Canadian Center of Science and Education, vol. 16(11), pages 1-33, February.
    2. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    3. Mian Sajid Nazir & Muhammad Musarrat Nawaz, 2012. "Corporate Payout Policy and Market Capitalization: Evidence from Pakistan," Journal of Economics and Behavioral Studies, AMH International, vol. 4(6), pages 331-343.
    4. Chin-Sheng Huang & Chun-Fan You & Hueh-Chen Lin, 2014. "Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 382-399.
    5. Syed Ali Raza, Mohd Zaini Abd Karim, 2016. "Do Liquidity and Financial Leverage Constrain the Impact of Firm Size and Dividend Payouts on Share Price in Emerging Economy," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(2), pages 71-86, October.
    6. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    7. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2006. "Taxes and dividend clientele: Evidence from trading and ownership structure," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 229-246, January.
    8. Abdulkadir Abdulrashid Rafindadi & Abdulrashid Bello, 2019. "Is Dividend Payment of any Influence to Corporate Performance in Nigeria? Empirical Evidence from Panel Cointegration," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 48-58.
    9. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    10. Poterba, James M & Summers, Lawrence H, 1984. "New Evidence that Taxes Affect the Valuation of Dividends," Journal of Finance, American Finance Association, vol. 39(5), pages 1397-1415, December.
    11. Ravichandran K. Subramaniam & Teh Chee Ghee & Murugasu Thangarajah, 2020. "Executive Compensation, Ownership Structure and Dividend Payout: Evidence from Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 16(2), pages 47-75.
    12. Saeid Tajdini & Ali Taiebnia & Mohsen Mehrara, 2023. "Reconsideration of behavioral biases in financial markets: comparison of the S&P500 index and TEPIX index of Tehran Stock Exchange," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 28(4), pages 705-711, December.
    13. Mark Schaub, 2017. "A note on the early effects of the US Presidential vote on Mexican ADR values," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 511-515, December.
    14. Fazakas, Gergely & Juhász, Péter, 2009. "Alacsonyabb kockázat - nagyobb osztalék?. A részvénykockázat és az osztalékfizetési hányad kapcsolatának vizsgálata a Budapesti Értéktőzsdén (1997-2007) [Lower risks - higher dividends?. Examining ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 322-342.
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    18. Renneboog, L.D.R. & Szilagyi, P.G., 2006. "How Relevant is Dividend Policy under Low Shareholder Protection?," Other publications TiSEM 70e258ee-7fcd-4c5f-83a2-2, Tilburg University, School of Economics and Management.
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    30. Mark Schaub, 2021. "Government Agency Product Endorsements and Stock Valuations: A COVID-19 Event Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(5), pages 1-1, May.
    31. Kim, Soojung & Park, Soon Hong & Suh, Jungwon, 2018. "A J-shaped cross-sectional relation between dividends and firm value," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 857-877.
    32. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
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    40. Nagendra Marisetty & M. Suresh Babu, 2021. "Dividend Announcements and Market Trends," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(10), pages 139-139, September.
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    48. Fazakas, Gergely & Kosárka, Judit, 2008. "Osztalékpolitikai elméletek [Dividend policy theories]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 782-806.
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    Cited by:

    1. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    2. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2006. "Taxes and dividend clientele: Evidence from trading and ownership structure," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 229-246, January.
    3. Poterba, James M & Summers, Lawrence H, 1984. "New Evidence that Taxes Affect the Valuation of Dividends," Journal of Finance, American Finance Association, vol. 39(5), pages 1397-1415, December.
    4. Shijie Liu & Andrew Adams & Boulis M. Ibrahim, 2013. "Effects of Tax on Investment Portfolios and Financial Markets Under Mixed Integer Stochastic Programming," CFI Discussion Papers 1304, Centre for Finance and Investment, Heriot Watt University.
    5. Fazakas, Gergely & Juhász, Péter, 2009. "Alacsonyabb kockázat - nagyobb osztalék?. A részvénykockázat és az osztalékfizetési hányad kapcsolatának vizsgálata a Budapesti Értéktőzsdén (1997-2007) [Lower risks - higher dividends?. Examining ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 322-342.
    6. Kruschwitz, Lutz & Löffler, Andreas, 2009. "Do taxes matter in the CAPM?," arqus Discussion Papers in Quantitative Tax Research 73, arqus - Arbeitskreis Quantitative Steuerlehre.
    7. Michael A. Goldstein & Abhinav Goyal & Brian M. Lucey & Cal B. Muckley, 2015. "The Global Preference for Dividends in Declining Markets," The Financial Review, Eastern Finance Association, vol. 50(4), pages 575-609, November.
    8. David G. Kenchington, 2019. "Does a change in dividend tax rates in the U.S. affect equity prices of non-U.S. stocks?," Review of Accounting Studies, Springer, vol. 24(2), pages 593-628, June.
    9. Philip Brown & Terry Walter, 1986. "Ex-Dividend Day Behaviour of Australian Share Prices," Australian Journal of Management, Australian School of Business, vol. 11(2), pages 139-152, December.
    10. Dan Dhaliwal & Shane Heitzman & Oliver Zhen Li, 2006. "Taxes, Leverage, and the Cost of Equity Capital," Journal of Accounting Research, Wiley Blackwell, vol. 44(4), pages 691-723, September.
    11. Arman Kosedag & Jinhu Qian, 2009. "Do Dividend Clienteles Explain Price Reactions To Dividend Changes?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(1), pages 47-57.
    12. Fuller, Kathleen P. & Goldstein, Michael A., 2011. "Do dividends matter more in declining markets?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 457-473, June.
    13. James M. Poterba & Lawrence H. Summers, 1984. "The Economic Effects of Dividend Taxation," NBER Working Papers 1353, National Bureau of Economic Research, Inc.
    14. Marc Rapp & Bernhard Schwetzler, "undated". "Asset Prices in the Presence of a Tax Authority," German Working Papers in Law and Economics 2006-1-1167, Berkeley Electronic Press.
    15. Daeyong Lee, 2017. "Dividend taxation and household dividend portfolio decisions: evidence from the U.S. Jobs and Growth Tax Relief Reconciliation Act of 2003," Applied Economics, Taylor & Francis Journals, vol. 49(8), pages 723-737, February.
    16. Auerbach, Alan J., 1983. "Stockholder tax rates and firm attributes," Journal of Public Economics, Elsevier, vol. 21(2), pages 107-127, July.
    17. Brown, Philip & Clarke, Alex & How, Janice C. Y. & Lim, Kadir J. P., 2002. "Analysts' dividend forecasts," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 371-391, September.
    18. Auerbach, Alan J., 1984. "Taxes, firm financial policy and the cost of capital: An empirical analysis," Journal of Public Economics, Elsevier, vol. 23(1-2), pages 27-57.
    19. Kim, Soojung & Park, Soon Hong & Suh, Jungwon, 2018. "A J-shaped cross-sectional relation between dividends and firm value," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 857-877.
    20. Klein, Peter, 2001. "The capital gain lock-in effect and long-horizon return reversal," Journal of Financial Economics, Elsevier, vol. 59(1), pages 33-62, January.
    21. Dialdin Osman & Elsaudi Mohammed, 2010. "Dividend Policy In Saudi Arabia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 99-113.
    22. Dhaliwal, Dan & Krull, Linda & Li, Oliver Zhen, 2007. "Did the 2003 Tax Act reduce the cost of equity capital?," Journal of Accounting and Economics, Elsevier, vol. 43(1), pages 121-150, March.
    23. Jacoby, Gady & Fowler, David J. & Gottesman, Aron A., 2000. "The capital asset pricing model and the liquidity effect: A theoretical approach," Journal of Financial Markets, Elsevier, vol. 3(1), pages 69-81, February.
    24. Philip Brown & Alex Clarke, 1993. "The Ex-Dividend Day Behaviour of Australian Share Prices Before and After Dividend Imputation," Australian Journal of Management, Australian School of Business, vol. 18(1), pages 1-40, June.
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    1. Darryl Biggar, 2023. "A re-examination of the foundations of the cost of capital for regulatory purposes," Journal of Regulatory Economics, Springer, vol. 64(1), pages 1-33, December.
    2. Burkhard Pedell, 2007. "Kapitalmarktbasierte Ermittlung des Kapitalkostensatzes für Zwecke der Entgeltregulierung," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 18(1), pages 35-60, April.
    3. Koch, Nicolas & Bassen, Alexander, 2013. "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, vol. 36(C), pages 431-443.
    4. David H. Goldenberg & Ashok J. Robin, 1991. "The Arbitrage Pricing Theory And Cost-Of-Capital Estimation: The Case Of Electric Utilities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 181-196, September.

  11. Litzenberger, Robert H. & Ramaswamy, Krishna, 1979. "The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 7(2), pages 163-195, June.

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    1. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
    2. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    3. Lyudmila N. Rodionova & Olga G. Kantor & Natalia O. Ruhlyada & Svetlana A. Karpovskaya, 2015. "Optimization of Shareholders's Incomes with Investments into Production Reforming," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 101-114.
    4. B Rajesh Kumar & K Abdul Waheed, 2015. "Determinants of Dividend Policy: Evidence from GCC Market," Accounting and Finance Research, Sciedu Press, vol. 4(1), pages 1-17, February.
    5. Kevin C. H. Chiang & Xiyu (Thomas) Zhou, 2009. "Do aggressive funds reallocate their portfolios aggressively?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 481-503, September.
    6. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    7. Adelegan, Olatundun, 2006. "Effects of taxes financing decisions and firm value in Nigeria," Proceedings of the German Development Economics Conference, Berlin 2006 1, Verein für Socialpolitik, Research Committee Development Economics.
    8. Klaus Grobys & James W. Kolari & Jere Rutanen, 2022. "Factor momentum, option-implied volatility scaling, and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 138-155, March.
    9. Natalia B. Boldyreva & Liudmila G. Reshetnikova & Elena A. Tarkhanova & Zhanna V. Pisarenko & Svetlana A. Kalayda, 2020. "The Impact of Tax Preferences on the Investment Attractiveness of Bonds for Retail Investors: The Case of Russia," JRFM, MDPI, vol. 13(4), pages 1-11, April.
    10. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    11. Nishant B. Labhane, 2019. "Dividend Policy Decisions in India: Standalone Versus Business Group-Affiliated Firms," Global Business Review, International Management Institute, vol. 20(1), pages 133-150, February.
    12. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
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