A NOTE ON RELATIONSHIPS AMONG YIELD-TO-MATURITY, EXPECTED RETURN AND RISK-FREE RATE FOR CORPORATE BONDS
作者:
PrakashS. Kharabe,
P. R. Chandy,
期刊:
The Engineering Economist
(Taylor Available online 1990)
卷期:
Volume 35,
issue 2
页码: 149-158
ISSN:0013-791X
年代: 1990
DOI:10.1080/00137919008903011
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Many researchers have dealt with and contributed to the literature on bond risk and risk premium. This paper analyzes components of bond risk premium using market valuation theory. We introduce a concept of “yield risk.” The “yield risk” of a bond is shown to be the sum of systematic risk and default risk. We successfully bridge the theoretical gap between what is commonly known (and contained in most investment textbooks) that yield to maturity of a bond may be an upward biased measure of cost of debt, and the theory of valuing risky debt in capital market equilibrium.
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