An investigation of the empirical distribution of bond returns

Article Abstract:

The empirical distribution of bond returns is investigated to improve the application of modern portfolio theory on bonds and facilitate the study of seasonal effects in the bond markets. McCulloch's Paretian distribution estimation procedure anda bootstrap distribution technique are used to test competing hypotheses of stable Paretian, mixture of normals and mixture of stable distribution of bond returns. It is found that the latter hypothesis best describes the distributionof bond returns. Implications of the findings on portfolio applications and seasonal effects studies are presented.

Financial instruments

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The decision to rate or not to rate: the case of municipal bonds

Article Abstract:

The findings on the decision to rate bonds are tested to verify whether small municipalities are less likely than larger ones to seek bond ratings. Results tend to support this statement. The decision to rate is found to be dependent on per capita incomes, population growth rate and densities. Specifically, the Middle Atlantic region cities are the most likely to have ratings while those in the Pacific are the least likely. No financial, economic and demographic differences are observed between rated and nonrated small cities.

Demographic aspects, Cities and towns, Municipal bonds

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Filled to the Brim with Girlish Glee

Article Abstract:

The first independent investor-supported bond-rating service has been set up in Japan by Akio Mikuni. About 500 companies and banks are covered. Ratings range from AAA to CCC.

Japan

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