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THE ANALYTICS OF RELATIVE HOLDING‐PERIOD RISKS FOR BONDS
Author(s) -
Stock Duane
Publication year - 1992
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.1475-6803.1992.tb00803.x
Subject(s) - bond , period (music) , default risk , credit risk , quality (philosophy) , business , actuarial science , finance , philosophy , physics , epistemology , acoustics
The relation between default risk measures and holding‐period risk measures for bonds is confusing for bond investors. Past studies show that lower‐credit‐quality bonds exhibit lower holding‐period risk. In this research I develop models to decompose the risk of corporate bonds and specify the conditions necessary for lower credit quality to result in lower holding‐period risk measures. Additionally, I offer insight into the seemingly haphazard pattern of holding‐period risk as related to credit quality.