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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/100753

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/100753

Title:	Inconsistent Bond Pricing in a Rational Mark
Authors:	陳鴻毅 Hong-Yi Chen;Chen, Hsiao-Yin
Contributors:	財管系
Keywords:	Bond pricing;Notching policy;Expected utility theory;Prospect theory;Cumulative prospect theory
Date:	2015-04
Issue Date:	2016-08-25 14:41:10 (UTC+8)
Abstract:	This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results among bonds with the same ratings. First, we apply a nonlinear utility function to the expected utility theory and observe different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the cumulative prospect theory to demonstrate that the inconsistency occurs when the effect on the convexity of the value function dominates the effect on the overweightness of the weighting function. The two models demonstrate that rather than using the notching policy to explain bond pricing, the inconsistent bond pricing can exist under rational market conditions.
Relation:	Review of Pacific Basin Financial Markets and Policies,
Data Type:	article
DOI 連結:	http://dx.doi.org/10.2139/ssrn.1760527
DOI:	10.2139/ssrn.1760527
Appears in Collections:	[財務管理學系] 期刊論文

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