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Price distortions and municipal bonds premiums:evidence from Switzerland

Financial Innovation 2021年第1期7卷 1359-1379页

作者： Darko B.Vukovic Carlos J.Rincon Moinak Maiti Department for Finance St.Petersburg School of Economics and ManagementNational Research University Higher School of EconomicsKantemirovskaya 3AOffice 331Sankt Petersburg 194100Russia

This study examines the pricing of municipal bonds before and after a currency shock in *** approaches are used to decompose the municipal to treasuries bond spreads into liquidity,maturity,and default risk *** first approach is the model of the cross-sectional instrumental variables,and the second approach is the model of the instrumental variables with panel *** study examines the composition of spreads for both approaches,in three scenarios:before,throughout,and after the currency *** study performed Durbin-Wu-Hausman tests for each decisive model to verify endogeneity issues,including the Lagrangian Multiplier test,the Cragg-Donald Wald F statistic to confirm the relationship of instrumental and endogenous variables,and the structural break test(Bai-Perron test)to determine the existence of structural breaks in bond *** study finds that the currency price distortions of the Swiss franc in January 2015 made long-run changes in the composition of the municipal bond *** research contributes to the understanding of municipal bond pricing by showing that default risk accounts for a large portion of the municipal bond spread,while maturity risk plays a lesser *** to our empirical findings,unexpected large currency price shocks may have long-term implications on the municipal bond spreads.

关键词： Municipal bonds risk premiums Bond spreads Price distortions

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Innovation and Firm Performance： Evidence From the Capital Market

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Journal of Modern Accounting and Auditing 2013年第2期9卷 272-277页

作者： Vichet Sum University of Maryland Eastern Shore USA

This paper examines the role of innovation in firm performance by drawing empirical evidence from the capital market. The current study analyzes risk premiums and risk-adjusted excess returns of a portfolio of the most innovative firms in the US from 2006 to 2010. The results show that average risk premiums of an equal-weighted portfolio of the most innovative finns in the US are economically larger than the CRSP2 value-weighted index risk premiums four years in a row from 2006 to 2009 and are economically greater than the standard and poor （S＆P） 500 index risk premiums from 2006 to 2010. The portfolio exhibits average statistically significant and positive risk-adjusted excess returns for the 3-year and 5-year holding period intervals. The findings serve as evidence of the favorable role of innovation in firm performance.

关键词： risk premiums risk-adjusted excess returns innovation

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