Optimal Bond Refunding: A Practical Approach
Although there is substantial research on optimal bond refunding, an important real-life feature is missing from the existing literature: imperfect adjustment or 'stickiness' of bond yields to short term interest rate changes. Our model takes this behavior into account, and also has the ability to handle mean reverting interest rates. The results indicate that the former has a significant effect on the optimal refunding policy (especially for longer maturities), but the latter does not. By incorporating these features, our model will hopefully offer a fairly complete and easily implementable guide to managers with regard to the bond refunding decision. Copyright Blackwell Publishers Ltd 1997.
Year of publication: |
1997-06
|
---|---|
Authors: | Sarkar, Sudipto |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 24.1997-06, 5, p. 685-704
|
Publisher: |
Wiley Blackwell |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Attracting private investment: Tax reduction, investment subsidy, or both?
Sarkar, Sudipto, (2012)
-
Time variation in the correlation structure of exchange rates: high‐frequency analyses
Muthuswamy, Jayaram, (2001)
-
Managerial compensation and the underinvestment problem
Kanagaretnam, Kiridaran, (2011)
- More ...