Valuation of government bonds: The exchange rate is an important aspect
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43912777" target="_blank" >RIV/62156489:43110/17:43912777 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.11118/actaun201765061911" target="_blank" >https://doi.org/10.11118/actaun201765061911</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201765061911" target="_blank" >10.11118/actaun201765061911</a>
Alternative languages
Result language
angličtina
Original language name
Valuation of government bonds: The exchange rate is an important aspect
Original language description
Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds. I follow international arbitrage pricing theory to determine the relationship between factors and the price of bonds. The international arbitrage pricing theory applies a multi-linear regression model. The regression model is used for emerging markets and developing markets separately. I have a unique data set of 46 countries. The main data are the monthly returns on government bonds in the period 2010 - 2015. Exchange risk influences the bond prices. Currency movements can bring further yield for investors.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA16-26353S" target="_blank" >GA16-26353S: Sentiment and its impact on stock markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
65
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
6
Pages from-to
1911-1916
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85038815711