A MEASUREMENT OF THE ERRORS IN INTRA‐PERIOD COMPOUNDING AND BOND VALUATION
作者:
James T. Lindley,
Billy P. Helms,
Mahmoud Haddad,
期刊:
Financial Review
(WILEY Available online 1987)
卷期:
Volume 22,
issue 1
页码: 33-50
ISSN:0732-8516
年代: 1987
DOI:10.1111/j.1540-6288.1987.tb00317.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThe errors in intra‐period compounding and bond pricing are widespread in textbooks, and they also periodically occur in published research. This article deals with the measurement of error and the magnitude of error when, given the market price of other than annual bonds, the yield to maturity is calculated using the incorrect formula. The authors demonstrate that the errors are (1) the result of confusion, not oversight, (2) large in magnitude when the effective yearly interest rate is high, and (3) not symmetrical; that is, the characteristics of the errors when determining yields, given bond prices, differ from the characteristics of the errors when determining bond prices, given interest rate
点击下载:
PDF
(702KB)
返 回