Reference : A repeat-sales index for pricing US corporate bonds
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/215404
A repeat-sales index for pricing US corporate bonds
English
Beaupain, Renaud mailto [IESEG School of Management (LEM-CNRS) > > > >]
Heck, Stéphanie mailto [Université de Liège - ULiège > HEC Liège : UER > Finance >]
2016
Finance
Finance Pub. Corp.
37
2
75-117
No
International
0015-1912
[en] Corporate bonds ; repeat-sales index ; asset pricing
[en] In this paper we use a repeat-sales index methodology to construct US corporate bond price indices. Using several performance tests, we show that this methodology provides superior index estimates. In particular when assets trade at infrequent and irregular intervals the repeat-sales index is superior to taking an arithmetic price average. The methodology can readily be applied to any sub-sample of bonds based on a particular characteristic, such as the rating or the maturity. We further study the sensitivity of individual bond returns to systematic market risk as measured by a repeat-sales price index. Results indicate that variations in the price index are an important determinant of the time series and of the cross-sectional variation of corporate bond returns.
Researchers
http://hdl.handle.net/2268/215404

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