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- Title
Risk and Return in the Canadian Bond Market.
- Authors
Kahn, Ronald N.; Gulrajani, Deepak
- Abstract
This paper presents a specific multifactor risk model of the Canadian bond market. First, it describes the particular features of the Canadian bond market. Second, it presents a valuation model to identify and measure the various sources of risk, including the term structure and tax and liquidity factors. Third, covariance of excess returns to these factors, leading to the risk model. Finally, it presents quantitative results pertaining to the market.
- Subjects
CANADA; BOND market; BONDS (Finance); MONEY market; BOND insurance; FINANCE; LIQUIDITY (Economics)
- Publication
Journal of Portfolio Management, 1993, Vol 19, Issue 3, p86
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.1993.409444