Modeling the risk premium on eurodollar bonds
Modeling the risk premium on eurodollar bonds
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.
61-73
Clare, Andrew D.
27fc3bf6-a2dc-4187-b395-71183cf58c58
Oozeer, D.
39fdf2bf-4a24-4a5c-a200-f52c16b9f54d
CurrimPreistley, Richard
4e07cb7e-a9ed-46ba-adb4-8bec15ccd872
Stephen H., Thomas
4a64b4c1-1fd8-4b81-8c97-299ce55cae43
March 2000
Clare, Andrew D.
27fc3bf6-a2dc-4187-b395-71183cf58c58
Oozeer, D.
39fdf2bf-4a24-4a5c-a200-f52c16b9f54d
CurrimPreistley, Richard
4e07cb7e-a9ed-46ba-adb4-8bec15ccd872
Stephen H., Thomas
4a64b4c1-1fd8-4b81-8c97-299ce55cae43
Clare, Andrew D., Oozeer, D., CurrimPreistley, Richard and Stephen H., Thomas
(2000)
Modeling the risk premium on eurodollar bonds.
The Journal of Fixed Income, .
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
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Date deposited: 24 Apr 2007
Last modified: 11 Dec 2021 15:36
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Contributors
Author:
Andrew D. Clare
Author:
D. Oozeer
Author:
Richard CurrimPreistley
Author:
Thomas Stephen H.
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