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Corporate bond pricing and different sources of asset return volatility

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Corporate bond pricing and different sources of asset return volatility
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George Chacko1 editions

This paper presents a pricing model for defaultable bonds. Default is defined by a cash flow, not value, covenant. The cash flow (total distributions) yield is stochastic. We find that different sources of volatility, cash flow versus discount rate news, affect prices asymmetrically. Controlling for total asset return volatility, cash flow volatility is still important for bond pricing.

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  • George Chacko

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