Risks and Returns of Low-Grade Bonds: An Update (Reprint 027)
This paper updates previous analyses of the risks and returns of low-grade bonds to include 1990, a year during which the low-grade bond market experienced dramatic changes. The annual return of 8.7 percent for low-grade bonds over the 1977-1990 period is lower than the returns on long-term Treasury bonds, long-term corporate bonds, the S&P 500 or small stocks over the same span. Much of this poor relative performance can be traced to the 1989-1990 period when low-grade bonds realized an average annual loss of 5.4 percent. During this same period, small stock prices also fell dramatically. The high degree of correlation between the returns of low-grade bonds and small stock during the entire period of analysis, but especially in the latter half of 1990, suggests that a factor common to both small stocks and low-grade bonds can explain a significant portion of the losses of low-grade bonds over this latter period.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:|
|Contact details of provider:|| Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367|
Phone: (215) 898-7616
Fax: (215) 573-8084
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:15-91. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.