Show simple item record

dc.contributor.authorBianchi, Robert J
dc.contributor.authorDrew, Michael E
dc.contributor.authorRoca, Eduardo
dc.contributor.authorWhittaker, Timothy
dc.date.accessioned2018-10-30T06:35:53Z
dc.date.available2018-10-30T06:35:53Z
dc.date.issued2017
dc.identifier.issn0810-5391
dc.identifier.doi10.1111/acfi.12174
dc.identifier.urihttp://hdl.handle.net/10072/141561
dc.description.abstractThis study examines the risk factors in Australian bond returns. The study quantifies bond liquidity and estimates a liquidity risk factor in the Australian setting. We develop a three‐factor asset pricing framework that uses term, default and liquidity risk factors to explain the variation of Australian bond returns. Our findings corroborate the US evidence on the pervasiveness of these risk factors faced by bond investors. The three‐factor model developed in this study has practical applications when calculating the cost of debt, evaluating the performance of an active bond fund manager and hedging underlying risk in a bond portfolio.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherWiley-Blackwell Publishing Asia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto28
dc.relation.ispartofjournalAccounting and Finance
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchAccounting, auditing and accountability
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode3501
dc.subject.fieldofresearchcode3801
dc.titleRisk factors in Australian bond returns
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version.
gro.hasfulltextNo Full Text
gro.griffith.authorBianchi, Robert
gro.griffith.authorDrew, Michael E.


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record