IDEAS home Printed from https://ideas.repec.org/p/fth/pennfi/24-90.html
   My bibliography  Save this paper

Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)

Author

Listed:
  • Marshall E. Blume
  • Donald B. Keim
  • Sandeep A. Patel

Abstract

This paper examines the risks and returns of long-term low-grade bonds for the period 1977-1989. We find: (1) Low-grade bonds realized higher returns than higher-grade bonds and lower returns than common stocks. Also, low-grade bonds exhibited less volatility than higher-grade bonds due to their call features and high coupons. (2) There is no relation between the age of low-grade bonds and their realized returns. Cyclical factors explain much of the observed relation between default rates and bond age. (3) Low-grade bonds behave like both bonds and stocks. Despite this complexity, there is no evidence that low-grade bonds are systematically over- or under-priced.

Suggested Citation

  • Marshall E. Blume & Donald B. Keim & Sandeep A. Patel, "undated". "Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)," Rodney L. White Center for Financial Research Working Papers 24-90, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:24-90
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    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:fth:pennfi:24-90. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/rwupaus.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.