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THE COUPON EFFECT ON YIELD TO MATURITY
Author(s) -
Caks John
Publication year - 1977
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1977.tb03245.x
Subject(s) - coupon , maturity (psychological) , citation , library science , computer science , political science , law , economics , finance
IN THIS PAPER I will briefly discuss previous analyses of the coupon effect on the yield to maturity of bonds and propose a new method for deriving zero-coupon interest rates from the market prices of non-zero coupon bonds. Although it is not a panacea for all empirical problems, the proposed technique does have certain advantages over previous methods. The analysis has several theoretical implications regarding bond market equilibrium.