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The Journal of Fixed Income

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Primary Article

Modeling the Risk Premium on Eurodollar Bonds

Andrew D. Clare, M. Currim Oozeer, Richard Preistley and Stephen H. Thomas
The Journal of Fixed Income Spring 2000, 9 (4) 61-73; DOI: https://doi.org/10.3905/jfi.2000.319255
Andrew D. Clare
A research manager with the monetary instruments and markets department at The Bank of England in London.
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M. Currim Oozeer
A postdoctoral fellow in the department of economics at the ISMA Centre of the University of Reading in Reading, U.K.
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Richard Preistley
Professor of finance at the Norwegian School of Management in Sandvika, Norway.
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Stephen H. Thomas
Professor of finance at Southampton University in Southampton, U.K.
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Abstract

In 1998 the outstanding value of the Eurobond market was estimated to be $2,648.3 billion, making it one of the largest capital markets of the world. Despite its size, this market has not attracted the attention from academics that it deserves. One reason for its relative neglect is likely the unavailability of a suitable database of Eurobond returns and related information. Using a newly constructed Eurobond database, the authors present evidence of the systematic relationship between macroeconomic and financial sources of risk and the Eurobond U.S. dollar bond market between 1992 and 1997. A small set of macroeconomic and financial variables, more frequently used to model the equity risk premium, can help explain the risk premium. The model can be used to form portfolios of Eurobonds that are insulated from these sources of systematic risk.

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The Journal of Fixed Income
Vol. 9, Issue 4
Spring 2000
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Modeling the Risk Premium on Eurodollar Bonds
Andrew D. Clare, M. Currim Oozeer, Richard Preistley, Stephen H. Thomas
The Journal of Fixed Income Mar 2000, 9 (4) 61-73; DOI: 10.3905/jfi.2000.319255

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Modeling the Risk Premium on Eurodollar Bonds
Andrew D. Clare, M. Currim Oozeer, Richard Preistley, Stephen H. Thomas
The Journal of Fixed Income Mar 2000, 9 (4) 61-73; DOI: 10.3905/jfi.2000.319255
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