Valuation of bonds on the international bond markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F18%3A43913964" target="_blank" >RIV/62156489:43110/18:43913964 - isvavai.cz</a>
Result on the web
<a href="https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf" target="_blank" >https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Valuation of bonds on the international bond markets
Original language description
The paper investigates the link between various economic variables and monthly bond return. We define the factors influencing the bond price and its effect according time series before crisis, during crisis and after crisis on the U.S. market. The further analysis show that the exchange risk is important factor affecting bond yield. For this reason, we apply the International Arbitrage Pricing Theory witch decomposition total asset returns to non-currency returns and currency returns. Currency movements affect assets factor loadings and associated risk premiums. Perform tests using corporate bond returns are provided in the period 2001-2017.
Czech name
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Czech description
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Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2018: Conference Proceedings
ISBN
978-80-7378-372-3
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
98-103
Publisher name
MatfyzPress
Place of publication
Praha
Event location
Jindřichův Hradec
Event date
Sep 12, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000507455300018

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