Debt Market

Overview

This major series presents by field outstanding selections of the most important articles across the entire spectrum of financial economics -- one of the fastest growing areas in both business schools and economics departments. Each collection has been prepared by a leading specialist who has written an authoritative introduction to the literature.

This three-volume collection -- prepared by a leading scholar and practitioner -- presents the ...

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Overview

This major series presents by field outstanding selections of the most important articles across the entire spectrum of financial economics -- one of the fastest growing areas in both business schools and economics departments. Each collection has been prepared by a leading specialist who has written an authoritative introduction to the literature.

This three-volume collection -- prepared by a leading scholar and practitioner -- presents the subject through a collection of important published articles on the debt market.

It focuses first on the classical bond market and moves on to a discussion of rational expectations, estimation and the term structure. This is followed by the modern theory of the term structure derived from modeling the stochastic movements of interest rates. The third section discusses implementation and related subtopics including taxation and the management of interest rate risk. The final section extends the discussion to corporate bonds and mortgages.

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Editorial Reviews

Booknews
This compendium comprises three volumes of selected writings from various books and such journals as and , among numerous others. The first volume, The General Theory/>, contains 21 pieces (the earliest from 1941), arranged in sections on the classical expectations hypothesis, testing rational expectations hypotheses, and the derivative asset approach to the term structure. Volume 2, comprises 22 selections in sections on testing, and implementing, the derivative asset approach; taxation and clientele effects; and duration, immunication and hedging. The third volume is titled , and it contains 19 selections on corporate bonds and mortgages and other fixed income instruments. The set is indexed by name only. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

Table of Contents

Vol. I
Acknowledgements vii
Foreword ix
Reader's Guide xi
Introduction xiii
Part I The Classical Expectations Hypothesis
1. 'The Structure of Interest Rates', Quarterly Journal of Economics, LV, 36-63 (1941) 3
2. 'The Term Structure of Interest Rates', Quarterly Journal of Economics, LXXI (4), November, 485-517 (1957) 31
3. 'The Expectations Hypothesis, the Yield Curve, and Monetary Policy', Quarterly Journal of Economics, LXXVIII (3), August, 457-70 (1964) 64
4. 'Innovations in Interest Rate Policy', American Economic Review, LVI (2), May, 178-97 (1966) 78
5. 'An Estimate of the Liquidity Premium', Journal of Political Economy, 83 (1), February, 95-119 (1975) 98
Part II Testing Rational Expectations Hypotheses
6. 'The Term Structure of Interest Rates' with an Appendix by J. Huston McCulloch, in Benjamin M. Friedman and Frank H. Hahn (eds), Handbook of Monetary Economics, Volume I, Chapter 13, Amsterdam: North-Holland, 627-722 (1990) 125
7. 'Yield Spreads and Interest Rate Movements: A Bird's Eye View', Review of Economic Studies, 58 (3), No. 195, May, 495-514 (1991) 221
8. 'The Information in Forward Rates: Implications for Models of the Term Structure', Journal of Financial Economics, 21, 41-70 (1988) 241
9. 'Short-Term Interest Rates as Predictors of Inflation', American Economic Review, 65 (3), June, 269-82 (1975) 271
10. 'Monetary Policy, Inflation Forecasting and the Term Structure of Interest Rates', Journal of Finance, XXXIII (1), March, 117-27 (1978) 285
11. 'Term Premiums in Bond Returns', Journal of Financial Economics, 13, 529-46 (1984) 296
12. 'Modeling the Term Structure of Interest Rates in Japan', Journal of Fixed Income, 4(2), September, 6-16 (1994) 314
Part III The Derivative Asset Approach to the Term Structure
13. 'Theory of Rational Option Pricing', Bell Journal of Economics and Management Science, 4 (1), Spring, 141-83 (1973) 327
14. 'The Valuation of Options for Alternative Stochastic Processes', Journal of Financial Economics, 3, 145-66 (1976) 370
15. 'An Equilibrium Characterization of the Term Structure', Journal of Financial Economics, 5, 177-88 (1977) 392
16. 'A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates', Journal of Finance, XXXVI (4), September, 769-99 (1981) 404
17 'A Theory of the Term Structure of Interest Rates', Econometrica, 53 (2), March, 385-407 (1985) 435
18. 'An Intertemporal General Equilibrium Model of Asset Prices', Econometrica, 53 (2), March, 363-84 (1985) 458
19. 'A Continuous Time Approach to the Pricing of Bonds', Journal of Banking and Finance, 3 (2), July, 133-55 (1979) 480
20. 'Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation', Econometrica, 60 (1), January, 77-105 (1992) 503
21. 'Long Forward and Zero-Coupon Rates Can Never Fall', Journal of Business, 69 (1), January, 1-25 (1996) 532
Name Index 557
Vol. II
Acknowledgements vii
Part I Testing the Derivative Asset Approach
1. 'The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates' and 'Discussion' by Wayne E. Ferson, Journal of Finance, XLI (3), July, 617-32 (1986) 3
2. 'Common Factors Affecting Bond Returns', Journal of Fixed Income, 1 (1), June, 54-61 (1991) 19
3. 'Volatility and the Yield Curve', Journal of Fixed Income, 1 (1), June, 49-53 (1991) 27
4. 'A Test of the Cox, Ingersoll, and Ross Model of the Term Structure', Review of Financial Studies, 6 (3), 619-58 (1993) 32
5. 'The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model', Journal of Financial Economics, 35, 3-42 (1994) 72
Part II Implementing the Derivative Asset Approach
6. 'Option Pricing: A Simplified Approach', Journal of Financial Economics, 7, 229-63 (1979) 115
7. 'Term Structure Movements and Pricing Interest Rate Contingent Claims', Journal of Finance, XLI (5), December, 1011-29 (1986) 150
8. 'A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options', Financial Analysts Journal, January-February, 33-9 (1990) 169
9. 'Pricing Interest-Rate-Derivative Securities', Review of Financial Studies, 3 (4), 573-92 (1990) 176
Part III Taxation and Clientele Effects
10. 'The Tax-Adjusted Yield Curve', Journal of Finance, XXX (3), June, 811-30 (1975) 199
11. 'Tax Clienteles and Asset Pricing' and 'Discussion' by Joseph Williams, Journal of Finance, XLI (3), July, 751-63 (1986) 219
12. 'Differential Taxation and the Equilibrium Structure of Interest Rates', Journal of Banking and Finance, 9 (3), September, 363-85 (1985) 232
13. 'Tax-Induced Clientele Effects in the Market for British Government Securities: Placing Bounds on Security Values in an Incomplete Market', Journal of Financial Economics, 10, 121-59 (1982) 255
14. 'After-Tax Investment Results from Long-Term vs. Short-Term Discount Coupon Bonds', Financial Analysts Journal, 40 (1), January-February, 43-54 (1984) 294
15. 'Optimal Bond Trading with Personal Taxes', Journal of Financial Economics, 13, 299-335 (1984) 306
Part IV Duration, Immunization and Hedging
16. 'Review of the Principles of Life-Office Valuations' and discussion, Journal of the Institute of Actuaries, LXXVIII, Part III, No. 350, 286-340 (1952) 345
17. 'Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies', Journal of Business, 44 (4), October, 408-31 (1971) 400
18. 'Immunization, Duration, and the Term Structure of Interest Rates', Journal of Financial and Quantitative Analysis, December, 725-42 (1977) 424
19. 'Duration Forty Years Later', Journal of Financial and Quantitative Analysis, Proceedings Issue, November, 627-50 (1978) 442
20. 'Is Immunization Feasible? Evidence from the CRSP Data', in George G. Kaufman, G.O. Bierwag and Alden Toevs (eds), Innovations in Bond Portfolio Management: Duration Analysis and Immunization, Greenwich, Connecticut: JAI Press, Inc., 163-82 (1983) 466
21. 'Immunisation and Duration: A Review of Theory, Performance and Applications', Midland Corporate Finance Journal, 2, 41-58 (1984) 486
22. 'Duration and the Measurement of Basis Risk', Journal of Business, 52 (1), 51-61 (1979) 504
Name Index 515
Vol. III
Acknowledgements vii
Part I Corporate Bonds
1. 'The Pricing of Options and Corporate Liabilities', Journal of Political Economy, 81 (3), May/June, 637-54 (1973) 3
2. 'On the Pricing of Corporate Debt: The Risk Structure of Interest Rates', Journal of Finance, XXIX (2), May, 449-70 (1974) 21
3. 'Valuing Corporate Securities: Some Effects of Bond Indenture Provisions', Journal of Finance, XXXI (2), May, 351-67 (1976) 43
4. 'A Contingent-Claims Valuation of Convertible Securities', Journal of Financial Economics, 4, 289-321 (1977) 60
5. 'Savings Bonds, Retractable Bonds and Callable Bonds', Journal of Financial Economics, 5, 67-88 (1977) 93
6. 'On Financial Contracting: An Analysis of Bond Covenants', Journal of Financial Economics, 7, 117-61 (1979) 115
7. 'An Analysis of Secured Debt', Journal of Financial Economics, 14, 501-21 (1985) 160
8. 'Measuring Corporate Bond Mortality and Performance', Journal of Finance, XLIV (4), September, 909-22 (1989) 181
9. 'Corporate Bond Valuation and the Term Structure of Credit Spreads', Journal of Portfolio Management, Spring, 52-64 (1991) 195
10. 'Voluntary Conversion of Convertible Securities and the Optimal Call Strategy', Journal of Financial Economics, 23 (2), August, 273-301 (1989) 208
11. 'Seniority and Maturity of Debt Contracts', Journal of Financial Economics, 33, 341-68 (1993) 237
Part II Mortgages and Other Fixed Income Instruments
12. 'An Introduction to the Mortgage Market and Mortgage Analysis', in Frank J. Fabozzi and T. Dessa Garlicki (eds), Advances in Bond Analysis and Portfolio Strategies, Chicago, Illinois: Probus Publishing Company, 187-233 (1987) 267
13. 'Risk, Return, and Hedging of Fixed-Rate Mortgages', Journal of Fixed Income, September, 85-107 (1991) 314
14. 'Prepayments on Fixed-Rate Mortgage-Backed Securities', Journal of Portfolio Management, 15 (3), Spring, 73-82 (1989) 337
15. 'Valuing Stripped Mortgage-Backed Securities', Housing Finance Review, 8, 241-51 (1989) 347
16. 'Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt', Journal of Finance, XLIV (2), June, 345-73 (1989) 358
17. 'An Analysis of Variable Rate Loan Contracts', Journal of Finance, XXXV (2), May, 389-403 (1980) 387
18. 'The Valuation of Floating-Rate Instruments: Theory and Evidence', Journal of Financial Economics, 17, 251-72 (1986) 402
19. 'U.S. Treasury Inflation-Indexed Bonds: The Design of a New Security', Journal of Fixed Income, December, 9-28 (1996) 424
Name Index 445
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