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Modeling the risk premium on eurodollar bonds

Clare, Andrew D., Oozeer, D., CurrimPreistley, Richard and Stephen H., Thomas (2000) Modeling the risk premium on eurodollar bonds Journal of Fixed Income, pp. 61-73.

Record type: Article

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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Published date: March 2000

Identifiers

Local EPrints ID: 37358
URI: http://eprints.soton.ac.uk/id/eprint/37358
ISSN: 1059-8596
PURE UUID: 9adfc1e8-71ed-495b-86e6-ea3937680ba6

Catalogue record

Date deposited: 24 Apr 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: Andrew D. Clare
Author: D. Oozeer
Author: Richard CurrimPreistley
Author: Thomas Stephen H.

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