Returns and Volatility of Low-Grade Bonds 1977-1989
This paper examines the risks and returns of long-term low-grade bonds for the period 1977-1989. We find: (1) low-grade bonds realized higher returns than higher-grade bonds and lower returns than common stocks, and low-grade bonds exhibited less volatility than higher-grade bonds due to their call...
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| Veröffentlicht in: | The Journal of finance (New York) 1991-03, Vol.46 (1), p.49-74 |
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| container_title | The Journal of finance (New York) |
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| creator | BLUME, MARSHALL E. KEIM, DONALD B. PATEL, SANDEEP A. |
| description | This paper examines the risks and returns of long-term low-grade bonds for the period 1977-1989. We find: (1) low-grade bonds realized higher returns than higher-grade bonds and lower returns than common stocks, and low-grade bonds exhibited less volatility than higher-grade bonds due to their call features and high coupons; (2) there is no relation between the age of low-grade bonds and their realized returns; cyclical factors explain much of the observed relation between default rates and bond age; and (3) low-grade bonds behave like both bonds and stocks. Despite this complexity there is no evidence that low-grade bonds are systematically over- or under-priced. |
| doi_str_mv | 10.1111/j.1540-6261.1991.tb03745.x |
| format | Article |
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| ispartof | The Journal of finance (New York), 1991-03, Vol.46 (1), p.49-74 |
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| language | eng |
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| source | Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | Automobile rentals Bond issues Bond markets Bond portfolios Bond rating Bonds Comparative studies Corporate bonds Economic models Fallen angel bonds Financial instruments Financial portfolios Government bonds Investment returns Portfolio performance Regression analysis Standard deviation Stock market indices Treasury bonds Volatility |
| title | Returns and Volatility of Low-Grade Bonds 1977-1989 |
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