IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v14y1991i3p241-247.html
   My bibliography  Save this article

A Certainty Equivalent Approach To Municipal Bond Default Risk Estimation

Author

Listed:
  • Chunchi Wu

Abstract

No abstract is available for this item.

Suggested Citation

  • Chunchi Wu, 1991. "A Certainty Equivalent Approach To Municipal Bond Default Risk Estimation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 241-247, September.
    • Handle: RePEc:bla:jfnres:v:14:y:1991:i:3:p:241-247
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1991.tb00661.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Tinic, Seha M. & West, Richard R., 1984. "Risk and return : Janaury vs. the rest of the year," Journal of Financial Economics, Elsevier, vol. 13(4), pages 561-574, December.
    2. Yawitz, Jess B., 1977. "An Analytical Model of Interest Rate Differentials and Different Default Recoveries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 481-490, September.
    3. Bierman, Harold & Hass, Jerome E., 1975. "An Analytical Model of Bond Risk Differentials," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 757-773, December.
    4. McInish, Thomas H., 1980. "Behavior of municipal bond default-risk premiums by maturity," Journal of Business Research, Elsevier, vol. 8(4), pages 413-418, December.
    5. Piros, Christopher D, 1987. "Taxable vs. Tax-Exempt Bonds: A Note on the Effect of Uncertain Taxable Income," Journal of Finance, American Finance Association, vol. 42(2), pages 447-451, June.
    6. Van Horne, James C., 1979. "Behavior of default-risk premiums for corporate bonds and commercial paper," Journal of Business Research, Elsevier, vol. 7(4), pages 301-313, December.
    7. Chang, Eric C & Pinegar, J Michael, 1988. " A Fundamental Study of the Seasonal Risk-Return Relationship: A Note," Journal of Finance, American Finance Association, vol. 43(4), pages 1035-1039, September.
    8. Gultekin, Mustafa N & Gultekin, N Bulent, 1987. "Stock Return Anomalies and the Tests of the APT," Journal of Finance, American Finance Association, vol. 42(5), pages 1213-1224, December.
    9. Yawitz, Jess B & Maloney, Kevin J & Ederington, Louis H, 1985. "Taxes, Default Risk, and Yield Spreads," Journal of Finance, American Finance Association, vol. 40(4), pages 1127-1140, September.
    10. Fons, Jerome S, 1987. "The Default Premium and Corporate Bond Experience," Journal of Finance, American Finance Association, vol. 42(1), pages 81-97, March.
    11. Rodriguez, Ricardo J., 1988. "Default Risk, Yield Spreads, and Time to Maturity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 111-117, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mitchener, Kris James & Oosterlinck, Kim & Weidenmier, Marc D. & Haber, Stephen, 2015. "Victory or repudiation? Predicting winners in civil wars using international financial markets," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 310-319.
    2. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
    3. Haber, Stephen H & Weidenmier, Marc & Oosterlinck, Kim & Mitchener, Kris, 2014. "Predicting Winners in Civil Wars," CEPR Discussion Papers 10109, C.E.P.R. Discussion Papers.
    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. 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.
    6. Merrick Jr., John J., 2001. "Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1921-1939, October.
    7. Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2009. "The determinants of corporate bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 85-109, February.
    8. Holian, Matthew & Joffe, Marc, 2013. "Assessing Municipal Bond Default Probabilities," MPRA Paper 46728, University Library of Munich, Germany.
    9. Wang, Junbo & Wu, Chunchi & Zhang, Frank X., 2008. "Liquidity, default, taxes, and yields on municipal bonds," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1133-1149, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
    3. Cumby, Robert E. & Pastine, Tuvana, 2001. "Emerging market debt: measuring credit quality and examining relative pricing," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 591-609, October.
    4. Partha Gangopadhyay, 1994. "Risk-Return Seasonality And Macroeconomic Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 347-361, September.
    5. 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.
    6. Moritz Wagner & John Byong-Tek Lee & Dimitris Margaritis, 2018. "Mutual Fund Flows and Seasonalities in Stock Returns," Working Papers in Economics 18/17, University of Canterbury, Department of Economics and Finance.
    7. James W. Kolari, 1987. "An Analytical Model Of Risky Yield Curves," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 295-303, December.
    8. 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.
    9. Peter P. Rohde & Vijay Mohan & Sinclair Davidson & Chris Berg & Darcy Allen & Gavin K. Brennen & Jason Potts, 2021. "Quantum crypto-economics: Blockchain prediction markets for the evolution of quantum technology," Papers 2102.00659, arXiv.org.
    10. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    11. 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.
    12. L. Franklin Fant & David R. Peterson, 1995. "The Effect Of Size, Book-To-Market Equity, Prior Returns, And Beta On Stock Returns: January Versus The Remainder Of The Year," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 129-142, June.
    13. 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.
    14. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
    15. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    16. Barnhill Jr., Theodore M. & Joutz, Frederick L. & Maxwell, William F., 2000. "Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 57-86, May.
    17. Wagner, Moritz & Lee, John Byong-Tek & Margaritis, Dimitris, 2022. "Mutual fund flows and seasonalities in stock returns," Journal of Banking & Finance, Elsevier, vol. 144(C).
    18. Nippel, Peter, 2016. "Investitionsrechnerische Bewertung von ausfallgefährdeten Krediten," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 664, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    19. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010. "Declining valuations and equilibrium bidding in central bank refinancing operations," International Journal of Industrial Organization, Elsevier, vol. 28(1), pages 30-43, January.
    20. Nippel, Peter, 2015. "Eine finanzwirtschaftliche Analyse der Risikovorsorge für erwartete Verluste im Kreditgeschäft," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 659, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:14:y:1991:i:3:p:241-247. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.