메뉴 건너뛰기




Volumn 37, Issue 4, 2002, Pages 693-721

An empirical examination of call option values implicit in U.S. corporate bonds

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0036921512     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/3595017     Document Type: Article
Times cited : (11)

References (39)
  • 1
    • 84977727904 scopus 로고
    • The shelf registration of debt mad self selection bias
    • Allen, D.S.; R.E. Lamy; and G.R. Thompson. "The Shelf Registration of Debt mad Self Selection Bias." Journal of Finance, 45 (1990), 275-287.
    • (1990) Journal of Finance , vol.45 , pp. 275-287
    • Allen, D.S.1    Lamy, R.E.2    Thompson, G.R.3
  • 3
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), 637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 4
    • 0039658585 scopus 로고    scopus 로고
    • Callable U.S. treasury bonds: Optimal calls, anomalies, and implied volatilities
    • Bliss, R.R., and E.I. Ronn. "Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities." Journal of Business, 71 (1998), 211-252.
    • (1998) Journal of Business , vol.71 , pp. 211-252
    • Bliss, R.R.1    Ronn, E.I.2
  • 5
    • 0002472293 scopus 로고
    • Savings bonds, retractable bonds, and callable bonds
    • Brennan, M., and E. Schwartz. "Savings Bonds, Retractable Bonds, and Callable Bonds." Journal of Financial Economics, 5 (1977), 67-88.
    • (1977) Journal of Financial Economics , vol.5 , pp. 67-88
    • Brennan, M.1    Schwartz, E.2
  • 6
    • 49249146394 scopus 로고
    • A continuous time approach to the pricing of bonds
    • _. "A Continuous Time Approach to the Pricing of Bonds." Journal of Banking and Finance, 3 (1979), 133-155.
    • (1979) Journal of Banking and Finance , vol.3 , pp. 133-155
  • 7
    • 84976156383 scopus 로고
    • An equilibrium model of bond prices and a test of market efficiency
    • _. "An Equilibrium Model of Bond Prices and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, 17 (1982), 301-329.
    • (1982) Journal of Financial and Quantitative Analysis , vol.17 , pp. 301-329
  • 8
    • 0001784834 scopus 로고
    • Determinant of the value of call options on default-free bonds
    • Buser, S.A.; P.H. Hendershott; and A.B. Sanders. "Determinant of the Value of Call Options on Default-Free Bonds." Journal of Business, 63 (1990), 33-50.
    • (1990) Journal of Business , vol.63 , pp. 33-50
    • Buser, S.A.1    Hendershott, P.H.2    Sanders, A.B.3
  • 10
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, J.C.; J.E. Ingersoll; and S.A. Ross. "A Theory of the Term Structure of interest Rates." Econometrica, 53 (1985), 385-408.
    • (1985) Econometrica , vol.53 , pp. 385-408
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 11
    • 0012271884 scopus 로고
    • Callable corporate bonds: A vanishing breed
    • Board of Governors of the Federal Reserve System, Division of Research and Statistics
    • Crabbe, L.E. "Callable Corporate Bonds: A Vanishing Breed." FEDS Working Paper #155, Board of Governors of the Federal Reserve System, Division of Research and Statistics (1991).
    • (1991) FEDS Working Paper , vol.155
    • Crabbe, L.E.1
  • 12
    • 21844511396 scopus 로고
    • Alternative tests of agency theories of callable corporate bonds
    • Crabbe, L.E., and J. Helwege. "Alternative Tests of Agency Theories of Callable Corporate Bonds," Financial Management, 23 (1994), 3-20.
    • (1994) Financial Management , vol.23 , pp. 3-20
    • Crabbe, L.E.1    Helwege, J.2
  • 13
    • 49349118926 scopus 로고
    • On the term structure of interest rates
    • Dothan, L.U. "On the Term Structure of Interest Rates." Journal of Financial Economics, 6 (1980), 59-69.
    • (1980) Journal of Financial Economics , vol.6 , pp. 59-69
    • Dothan, L.U.1
  • 14
    • 0011603540 scopus 로고    scopus 로고
    • The relation between treasury yields and corporate bond yield spreads
    • Duffee, G.R. "The Relation between Treasury Yields and Corporate Bond Yield Spreads." Journal of Finance, 53 (1998), 2225-2241.
    • (1998) Journal of Finance , vol.53 , pp. 2225-2241
    • Duffee, G.R.1
  • 16
    • 0040588370 scopus 로고    scopus 로고
    • Tax and liquidity effects in pricing government bonds
    • Elton, E.J., and T.C. Green. "Tax and Liquidity Effects in Pricing Government Bonds." Journal of Finance, 53 (1998), 1533-1562.
    • (1998) Journal of Finance , vol.53 , pp. 1533-1562
    • Elton, E.J.1    Green, T.C.2
  • 17
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E.F., and K.R. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-57.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-57
    • Fama, E.F.1    French, K.R.2
  • 18
    • 0001029298 scopus 로고
    • Pricing new corporate bond issues: An analysis of issue cost and seasoning effects
    • Fung, W.K.H., and A. Rudd. "Pricing New Corporate Bond Issues: An Analysis of Issue Cost and Seasoning Effects." Journal of Finance, 41 (1986), 633-643.
    • (1986) Journal of Finance , vol.41 , pp. 633-643
    • Fung, W.K.H.1    Rudd, A.2
  • 19
    • 84944829853 scopus 로고
    • Term structure movements and pricing of interest rate claims
    • Ho, T., and S.B. Lee. "Term Structure Movements and Pricing of Interest Rate Claims." Journal of Finance, 41 (1986), 1011-1029.
    • (1986) Journal of Finance , vol.41 , pp. 1011-1029
    • Ho, T.1    Lee, S.B.2
  • 20
    • 0000520090 scopus 로고
    • Pricing interest-rate derivative securities
    • Hull, J., and A. White. "Pricing Interest-Rate Derivative Securities." Review of Financial Studies, 3 (1990), 573-592.
    • (1990) Review of Financial Studies , vol.3 , pp. 573-592
    • Hull, J.1    White, A.2
  • 21
    • 0001612996 scopus 로고
    • A contingent-claims valuation of convertible securities
    • Ingersoll, J.E. "A Contingent-Claims Valuation of Convertible Securities." Journal of Financial Economics, 4 (1977), 289-321.
    • (1977) Journal of Financial Economics , vol.4 , pp. 289-321
    • Ingersoll, J.E.1
  • 22
    • 0000148371 scopus 로고
    • Tax options and the pricing of treasury bond triplets: Theory and evidence
    • Jordan, B.D., and S.D. Jordan. "Tax Options and the Pricing of Treasury Bond Triplets: Theory and Evidence." Journal of Financial Economics, 30 (1991), 135-164.
    • (1991) Journal of Financial Economics , vol.30 , pp. 135-164
    • Jordan, B.D.1    Jordan, S.D.2
  • 23
    • 0001096999 scopus 로고
    • A reexamination of option values implicit in callable treasury bonds
    • Jordan, B.D.; S.D. Jordan; and R. Jorgensen. "A Reexamination of Option Values Implicit in Callable Treasury Bonds." Journal of Financial Economics, 38 (1995), 141-162.
    • (1995) Journal of Financial Economics , vol.38 , pp. 141-162
    • Jordan, B.D.1    Jordan, S.D.2    Jorgensen, R.3
  • 24
    • 0032353687 scopus 로고    scopus 로고
    • The mispricing of callable U.S. treasury bonds: A closer look
    • Jordan, B.D.; S.D. Jordan; and D.R. Kuipers. "The Mispricing of Callable U.S. Treasury Bonds: A Closer Look" Journal of Futures Markets, 18 (1998), 35-51.
    • (1998) Journal of Futures Markets , vol.18 , pp. 35-51
    • Jordan, B.D.1    Jordan, S.D.2    Kuipers, D.R.3
  • 27
    • 0005776183 scopus 로고
    • Does default risk in coupons affect the valuation of corporate bonds? A contingent claims model
    • Kim, I.J.; K. Ramaswamy; and S. Sundaresan. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model." Financial Management, 22 (1993), 117-132.
    • (1993) Financial Management , vol.22 , pp. 117-132
    • Kim, I.J.1    Ramaswamy, K.2    Sundaresan, S.3
  • 28
    • 0040609376 scopus 로고    scopus 로고
    • Corporate call policy of nonconvertible bonds
    • King, T.D., and D.C. Mauer. "Corporate Call Policy of Nonconvertible Bonds." Journal of Business, 73 (2000), 403-444.
    • (2000) Journal of Business , vol.73 , pp. 403-444
    • King, T.D.1    Mauer, D.C.2
  • 29
    • 0001764481 scopus 로고
    • Risk premia and the pricing of primary issue bonds
    • Lamy, R.E., and G.R. Thompson. "Risk Premia and the Pricing of Primary Issue Bonds." Journal Banking and Finance, 12 (1988), 585-601.
    • (1988) Journal Banking and Finance , vol.12 , pp. 585-601
    • Lamy, R.E.1    Thompson, G.R.2
  • 30
    • 0001873357 scopus 로고
    • A multivariate model of the term structure
    • Langetieg, T.C. "A Multivariate Model of the Term Structure." Journal of Finance, 35 (1980), 71-97.
    • (1980) Journal of Finance , vol.35 , pp. 71-97
    • Langetieg, T.C.1
  • 31
    • 0000131654 scopus 로고
    • Arbitrage pricing, transaction costs and taxation of capital gains: A study of government bonds with the same maturity date
    • Litzenberger, R.H., and J. Rolfo. "Arbitrage Pricing, Transaction Costs and Taxation of Capital Gains: A Study of Government Bonds with the Same Maturity Date" Journal of Financial Economics, 13 (1984), 337-351.
    • (1984) Journal of Financial Economics , vol.13 , pp. 337-351
    • Litzenberger, R.H.1    Rolfo, J.2
  • 32
    • 0344971168 scopus 로고
    • A nonlinear equilibrium model of the term structure of interest rates
    • Longstaff, F.A. "A Nonlinear Equilibrium Model of the Term Structure of Interest Rates." Journal Financial Economics, 23 (1989), 195-224.
    • (1989) Journal Financial Economics , vol.23 , pp. 195-224
    • Longstaff, F.A.1
  • 33
    • 21144476026 scopus 로고
    • Are negative option prices possible? The callable U.S treasury bond puzzle
    • _. "Are Negative Option Prices Possible? The Callable U.S Treasury Bond Puzzle." Journal of Business, 65 (1992), 571-592.
    • (1992) Journal of Business , vol.65 , pp. 571-592
  • 34
    • 38249007493 scopus 로고
    • Valuation of options on coupon bonds
    • _. "The Valuation of Options on Coupon Bonds." Journal of Banking and Finance, 17 (1993), 27-42.
    • (1993) Journal of Banking and Finance , vol.17 , pp. 27-42
  • 35
    • 21844497929 scopus 로고
    • Calling nonconvertible debt and the problem of related wealth transfer effects
    • Longstaff, F.A., and B.A. Tuckman. "Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effects." Financial Management, 23 (1994), 21-27.
    • (1994) Financial Management , vol.23 , pp. 21-27
    • Longstaff, F.A.1    Tuckman, B.A.2
  • 36
    • 84986516141 scopus 로고
    • Optimal bond call policy under transaction costs
    • Mauer, D.C. "Optimal Bond Call Policy under Transaction Costs." Journal of Financial Research, 16 (1993), 23-37.
    • (1993) Journal of Financial Research , vol.16 , pp. 23-37
    • Mauer, D.C.1
  • 38
    • 34848897674 scopus 로고
    • An arbitrage model of the term structure of interest rates
    • Richard, S. "An Arbitrage Model of the Term Structure of Interest Rates" Journal of Financial Economics, 6 (1979), 33-57.
    • (1979) Journal of Financial Economics , vol.6 , pp. 33-57
    • Richard, S.1
  • 39
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek, O. "An Equilibrium Characterization of the Term Structure." Journal of Financial Economics, 5 (1977), 177-188.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.