Coupon Effects on Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity
J Hyman, AB Dor, L Dynkin… - The Journal of Fixed …, 2015 - search.proquest.com
The traditional approach for pricing corporate bonds based on discounting their promised
cash flows by a combination of rates and spreads implies that a bond's coupon level by itself …
cash flows by a combination of rates and spreads implies that a bond's coupon level by itself …
Fallen angels: characteristics, performance, and implications for investors
AB Dor, Z Xu - The Journal of Fixed Income, 2011 - search.proquest.com
This article examines the characteristics and price dynamics of fallen angels during a three-
year period around their downgrade date. Consistent with the implications of forced selling …
year period around their downgrade date. Consistent with the implications of forced selling …
Hedging systematic risk in high yield portfolios with a synthetic overlay: a comparative analysis of equity instruments vs. credit default swaps
AB Dor, J Guan - The Journal of Fixed Income, 2017 - search.proquest.com
We compare the efficacy of index credit default swaps to a synthetic overlay using equity
index futures in hedging the systematic risk of high yield portfolios in the US and Euro …
index futures in hedging the systematic risk of high yield portfolios in the US and Euro …
[HTML][HTML] Broken bucks: money funds that took taxpayer guarantees in 2008
L Wilson - Journal of Asset Management, 2020 - Springer
This is the first study to look at the characteristics of funds accepting the $2.7 trillion taxpayer
guarantee of money market mutual funds during the 2008 financial crisis. Fund shares that …
guarantee of money market mutual funds during the 2008 financial crisis. Fund shares that …