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PRICE VOLATILITY OF MUNICIPAL DISCOUNT BONDS
Author(s) -
Stock Duane
Publication year - 1985
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1985.tb00421.x
Subject(s) - volatility (finance) , bond , economics , monetary economics , volatility smile , econometrics , bond valuation , financial economics , market segmentation , finance , microeconomics
The price volatility of municipal bonds is a vital concern to bankers and regulators. Although great strides have recently been made in understanding bond price volatility, many significant refinements encompassing specific institutional characteristics of the municipal bond market are needed. This research stresses the taxability of the capital gains inherent in discount municipals to illustrate interesting patterns of price volatility dependent upon maturity. The impact of geographic segmentation is also discussed.