政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/112336

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51722835 Online Users : 595

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/112336

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112336

Title:	Inconsistent Bond Pricing in a Rational Market
Authors:	陳鴻毅 Chen, Hong Yi Chen, Hsiao Yin
Contributors:	財管系
Keywords:	Bond pricing;Notching policy;Expected utility theory;Prospect theory;Cumulative prospect theory
Date:	2016-09
Issue Date:	2017-08-31 11:39:46 (UTC+8)
Abstract:	This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results among bonds with the same ratings. First, we apply a nonlinear utility function to the expected utility theory and observe different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the cumulative prospect theory to demonstrate that the inconsistency occurs when the effect on the convexity of the value function dominates the effect on the overweightness of the weighting function. The two models demonstrate that rather than using the notching policy to explain bond pricing, the inconsistent bond pricing can exist under rational market conditions.
Relation:	Review of Pacific Basin Financial Markets and Policies, 19(3)
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1142/S021909151650017X
DOI:	10.1142/S021909151650017X
Appears in Collections:	[財務管理學系] 期刊論文

Files in This Item:

File	Description	Size	Format
28.pdf		176Kb	Adobe PDF2	356	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...