New methodology for event studies in Bonds
Peter Bell ()
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Event Study; Bonds; TRACE; ANOVA (search for similar items in EconPapers)
JEL-codes: G14 G3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26694
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