Valuation of corporate bonds on the international market

Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F18%3A43913699" target="_blank" >RIV/62156489:43110/18:43913699 - isvavai.cz</a>
Výsledek na webu
<a href="http://pefnet.mendelu.cz/wcd/w-rek-pefnet/pefnet17_fin.pdf" target="_blank" >http://pefnet.mendelu.cz/wcd/w-rek-pefnet/pefnet17_fin.pdf</a>
DOI - Digital Object Identifier
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Jazyk výsledku
angličtina
Název v původním jazyce
Valuation of corporate bonds on the international market
Popis výsledku v původním jazyce
The paper focuses on the valuation of corporate bonds, especially in times with low inflation and low interest rates. We apply International Arbitrage Pricing Theory. The basis of the theory is asset return decomposition to non-currency and currency returns. Currency movements affect asset factor loadings and associated risk premiums. The aim of paper is to define the factors influencing bond prices. Tests are performed using corporate bond returns are provided in the period 2000-2016. Our results confirm the relationship between the movements of bond prices and movements in exchange rates.
Název v anglickém jazyce
Valuation of corporate bonds on the international market
Popis výsledku anglicky
The paper focuses on the valuation of corporate bonds, especially in times with low inflation and low interest rates. We apply International Arbitrage Pricing Theory. The basis of the theory is asset return decomposition to non-currency and currency returns. Currency movements affect asset factor loadings and associated risk premiums. The aim of paper is to define the factors influencing bond prices. Tests are performed using corporate bond returns are provided in the period 2000-2016. Our results confirm the relationship between the movements of bond prices and movements in exchange rates.

Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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