作者：Helwege, J; Turner, CM
作者单位：University System of Ohio; Ohio State University
摘要：Many theoretical bond pricing models predict that the credit yield curve facing risky bond issuers is downward-sloping. Previous empirical research (Sarig and Warga (1989), Fons (1994)) supports these models. Our study examines sets of bonds issued by the same firm with equal priority in the liability structure, but with different maturities, thus holding credit quality constant. We find, counter to prior research, that risky bonds typically have upward-sloping credit yield curves. Moreover, w...
作者：Lee, CLMC; Myers, J; Swaminathan, B
作者单位：Cornell University; University of Washington; University of Washington Seattle
摘要：We model the time-series relation between price and intrinsic Value as a cointegrated system, so that price and Value are long-term convergent. In this framework, we compare the performance of alternative estimates of intrinsic Value for the Dow 30 stocks. During 1963-1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income Valuation model, has statistically reliable predictive power. Further a...
