IX. How to Read Financial Bond Pages - pantherFILE
reported in the New York Times is essentially the same as in the Wall Street Journal, ... and Treasury notes (T-notes) are coupon bonds with a maturity of between ... More precisely, the bid price quoted for a bond is the approximate market price ... The sixth and final column (Yld) provides the yield to maturity on the bond ...
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The bond/old-bond spread - Stanford Sites - Stanford University
1 The Treasury's recent announcement of eliminating 30-year bonds has ... Short sell the new bond, upon issuance, at a spread of 12 bps to the old bond. ... of a newly issued (''on the run'') 30-year American Treasury bond, and a similar one ... 6. May-9. 7. May-9. 8. May-9. 9. Spread (%). Fig. 2. Yield spread between bond ...
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liquidity and yield spreads of corporate bonds - OhioLINK Electronic
... the view that corporate bond liquidity is an important yield spread determinant. ... .Senior Research Analyst, Banc of America Capital. Management, New York. FIELDS OF ... 1.2.1 Determinants and Properties of Yield Spreads. .... A.6. Pooled Regression of Corporate Yield Spreads on Bid-Ask Spreads...........54. A.7.
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The Informational Efficiency of the Corporate Bond Market: An
an electronic quotation and surveillance system for high-yield bonds known ... gests that lagged stock returns have explanatory power for current bond yield .... Bond listed on NY Bond Exchange. 16. 29 1 or AMEX. Sample includes 55 bonds from .... 1. /. 01. 211/211. (100.0%). 1218. 1218. 3. American. Standard. 0,10.5 a. 6.
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Treasury yields and corporate bond yield spreads - Board of
bond yield spreads fall when the level of the Treasury term structure rises. ... indexes of new-issue swap spreads, is that these are \refreshed" indexes. ... given decrease in Treasury yields is between 6 and 36 percent less than it would be if bond .... Note that bonds that were downgraded between t and t + 1 or that have ...
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The Benchmark US Treasury Market - Federal Reserve Bank of New
he U.S. Treasury securities market is a benchmark. As obligations .... Chart 1. Ten -Year U.S. Treasury Note Yield and Federal Funds Target Rate. Russian ruble.
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Bond Prices at Default and at Emergence from Bankruptcy - Moody's
average, bond prices at emergence were 17% higher than at default. ... New York . Praveen Varma. 1.212.553.1653. Richard Cantor. Contact. Phone ..... and therefore meaningless price data, a quote is included in the sample only if there has ... stantial nominal returns on defaulted bonds. 1. In a prior Moody's study, instead ...
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Determinants of Corporate Bond Trading: A Comprehensive Analysis.
May 6, 2002 ... grade and high-yield bonds of public and private firms over a 60- month ... 1 Schultz (2001) provides estimates for a larger sample of bond by ... trade using a database of monthly bond quotes provided by Lehman Brothers. ...... Report Number 73, Federal Reserve Bank of New York. .... American Economic.
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The Yield Spread Between New and Seasoned Corporate Bonds
148. Essays on Interest Rates. CHART 5-1. Moody New and Seasoned Aa Corporate Bond Yields and. Yield Spreads. Per cent. DESCRIPTION OF THE DATA.
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Information-Based Trading in the Junk Bond Market
information-based trading takes place in the high-yield corporate bond market, and ... bond returns have explanatory power for future stock price changes. .... New York, 'Bond Market Association Legal and Compliance Conference ... medium-term note program12, and only a set of 50 most actively traded bonds were.
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Bank Debt versus Bond Debt: Evidence from Secondary Market Prices
Dec 15, 2009 ... advantage of loans over bonds, we find the secondary loan market to be ... Association annual meeting, the American Economic Association ..... of day bond prices from TRACE from July 1, 2002 to October 31, .... 6. The relevance of collateral in debt financing is well established in the ... affects bond yields.
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Page 1 - NYU Stern School of Business
A Clinical Study of the General Motors and Ford Downgrade of May 20051 by ... We show that the corporate bond market makers' imbalance .... quotes of GM bonds that we employ to document liquidity risk is in fact ..... 13 Source: The New York Times, “Junk Ratings Make a Big Splash, Ripples Are Next”, May 6, 2005.
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Bondholder Losses in Leveraged Buyouts - Ivo Welch
1. Bond Pricing Issues. 1.1 Available bond data. As described in Warga (1991), the acquisition of ... exchange prices (e.g., New York or American Stock Exchanges) and ... bonds and notes excluding Bower bonds and foreign-targeted issues. Bonds ... quoted yields from Lehman Brothers indicate a 200-basis-point increase.
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Return Predictability in the Treasury Market - Harvard Business School
Sep 27, 2013 ... serve Board, the European Central Bank, the New York Federal ... or the spread between nominal and inflation-indexed bond yields of ... Liquidity variables have smaller, but still significant, explanatory power .... 1,t . (3). Inflation-indexed bonds are commonly quoted in terms of real yields, but since xrTIPS.
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Return Predictability in the Treasury Market: Real - Carolin Pflueger
2011, the Federal Reserve Board, the European Central Bank, the New York Federal ... inflation risk premia contribute to nominal bond excess return predictability to .... have smaller, but still significant, explanatory power for U.K. breakeven. .... 1,t . (3). Inflation-indexed bonds are commonly quoted in terms of real yields, but ...
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Between 1928 and 1961, the Bank and Quotation Record, published
Securities Markets (“ISSM”). 1. Beginning in 1993, the Trades and Quotes (“TAQ”) database is available directly from the New York Stock Exchange. All bid-ask ...
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Do Collective Action Clauses Raise Borrowing Costs?
typically include collective-action clauses, with spreads on bonds subject to ... States and subject to the law of the State of New York require the unanimous consent of the .... subsequently as the price of the bond varies) minus the yield on a risk-free ..... Note that the coefficients on these other explanatory variables are not.
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Fundamental Economic Variables, Expected Returns, and Bond
indexes to explain both returns and expected returns on bonds. ... are from the Leonard N. Stern School of Business, New York University; .... in some economic variables to see if they add additional explanatory ..... aggregate bond index with the Blume/Keim high-yield series to obtain a ..... Note that when the fundamen-.
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Pricing Contract Terms in a Crisis: Venezuelan Bonds in 2016
Jun 10, 2016 ... On June 1, 2016, the 6 month CDS contract traded at about 7,000 bps ... in New York law bonds was the product of mindless copying from New ... governed sovereign bond has moved away from unanimity .... The payment obligations of [ the Republic] under under the [Notes] will at all times rank at least.
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International Pricing of Emerging Market Corporate Debt - IMF
Jan 1, 2010 ... Keywords: Corporate bonds, bond spreads, Fama-French factors ... 1 The authors are respectively with University of Stellenbosch, Cape .... 6. Model Estimation When Allowing for Structural Break . ... U.S. Treasury Yield and Emerging Market ... Analyses of American Depository Receipts (ADRs) find that ...
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