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The Pricing of U.S. Treasury Floating Rate Notes

Mendeley Data2026-04-09 收录

债券定价

浮动利率票据

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资源简介：

Replication material for "The Pricing of U.S. Treasury Floating Rate Notes", published in the Journal of Financial Economics.

应用场景：

金融工程

债券定价

This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that

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Asset Mispricing

债券定价

资产定价异常

We use a unique dataset of corporate bonds guaranteed by the full faith and credit of the U.S. to test a number of recent theories about why asset prices may diverge from fundamental values. These mod

NBER2017-03-01 更新60

Bond Convenience Curves and Funding Costs

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金融市场微观结构

Replication folder for paper "Bond Convenience Curves and Funding Costs".

NIAID Data Ecosystem40

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

债券定价

固定收益风险分析

We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the corporate bond market. We find a significantly positive intertemporal relation between expected

NBER2019-06-01 更新90

How Management Risk Affects Corporate Debt

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金融风险管理

Management risk occurs when uncertainty about future managerial decisions increases a firms overall risk. This paper argues that management risk is an important yet unexplored determinant of a firms d

NBER2016-03-01 更新60

The Pricing of U.S. Treasury Floating Rate Notes

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