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- Title
SOME EVIDENCE ON YIELD CHANGES AND THE SYSTEMATIC RISK OF BONDS.
- Authors
Chen, Carl R.
- Abstract
This paper provides a theoretical and empirical analysis of the relationship between bond beta and yield changes. The first stage of the analysis utilizes a moving regression model to estimate betas and yields. The results obtained are used in the second stage to analyze the relationship between beta changes and yield changes. The preliminary results reveal that yield changes have a significant negative impact on bond betas.
- Subjects
BONDS (Finance); REGRESSION analysis
- Publication
Quarterly Journal of Business & Economics, 1989, Vol 28, Issue 1, p43
- ISSN
0747-5535
- Publication type
Article