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Abstract

The new methodology to study the impact of corporate events on bonds is comprised of a sampling technique and regression model. The method is different from standard approaches, motivated by the belief that event impact should be reflected in levels of yield premium. The regression tests for a change in average bond price after an event, statistical inference is made by estimates of a dummy variable. A new sampling method is described to accommodate the irregular spacing of bond trades in time.



Item Type: MPRA Paper -

Original Title: New methodology for event studies in Bonds-

Language: English-

Keywords: Event Study, Bonds, TRACE, ANOVA-

Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider TradingG - Financial Economics > G3 - Corporate Finance and Governance-





Autor: Bell, Peter N

Fuente: https://mpra.ub.uni-muenchen.de/26694/







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