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Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis

  • Barnhill Jr., Theodore M.
  • Joutz, Frederick L.
  • Maxwell, William F.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-40GJDM5-3/2/223241b23d04cec07c63dfac203bfa4b
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 7 (2000)
Issue (Month): 1 (May)
Pages: 57-86

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Handle: RePEc:eee:empfin:v:7:y:2000:i:1:p:57-86
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Fons, Jerome S, 1987. " The Default Premium and Corporate Bond Experience," Journal of Finance, American Finance Association, vol. 42(1), pages 81-97, March.
  2. Silvers, J B, 1973. "An Alternative to the Yield Spread as a Measure of Risk," Journal of Finance, American Finance Association, vol. 28(4), pages 933-55, September.
  3. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
  4. Chang, Eric C. & Huang, Roger D., 1990. "Time-Varying Return and Risk in the Corporate Bond Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 323-340, September.
  5. James W. Wansley & Terrence M. Clauretie, 1985. "The Impact Of Creditwatch Placement On Equity Returns And Bond Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 31-42, 03.
  6. Chang, Eric C. & Pinegar, J. Michael, 1986. "Return seasonality and tax-loss selling in the market for long-term government and corporate bonds," Journal of Financial Economics, Elsevier, vol. 17(2), pages 391-415, December.
  7. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, vol. 81(2), pages 227-31, May.
  8. Boardman, Calvin M. & McEnally, Richard W., 1981. "Factors Affecting Seasoned Corporate Bond Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(02), pages 207-226, June.
  9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  11. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
  12. Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, vol. 67, pages 217.
  13. Smith, Clifford Jr. & Warner, Jerold B., 1979. "On financial contracting : An analysis of bond covenants," Journal of Financial Economics, Elsevier, vol. 7(2), pages 117-161, June.
  14. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  16. William F. Maxwell, 1998. "The January Effect in the Corporate Bond Market: A Systematic Examination," Financial Management, Financial Management Association, vol. 27(2), Summer.
  17. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
  18. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
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