The University of Southampton
University of Southampton Institutional Repository

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


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

Full text not available from this repository.

More information

Published date: March 2000


Local EPrints ID: 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

Export record


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

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.