Zobrazit minimální záznam

dc.contributor.authorFrancová, Blanka
dc.date.accessioned2021-11-27T01:02:16Z
dc.date.available2021-11-27T01:02:16Z
dc.date.issued2018
dc.identifier43916220
dc.identifier.issn1211-8516 Sherpa/RoMEO, JCR
dc.identifier.urihttps://repozitar.mendelu.cz/xmlui/handle/20.500.12698/1399
dc.description.abstractExchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non-currency return and currency return. The currency return is defined by exchange rate risk and the non-currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a rich dataset from Morningstar in the period 2001-2017 we employ the linear regression analysis method OLS with fixed effects. We apply the model for different bond yields and different time-series. The factors influence bond price differently for each yield and each time-series. Our results confirm that currency movements significantly affect the bond prices.en
dc.format1451-1458
dc.publisherMendelova univerzita v Brně
dc.relation.ispartofActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
dc.relation.urihttps://doi.org/10.11118/actaun201866061451
dc.rightsCC BY-NC-ND 4.0
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectpricing bondsen
dc.subjectexchange rateen
dc.subjectinterest rateen
dc.subjectinflationen
dc.titleAn Analysis of the Impact of Selected Factors on the Bond Marketen
dc.typeJ_ČLÁNEK
dc.date.updated2021-11-27T01:02:16Z
dc.description.versionOA
local.identifier.doi10.11118/actaun201866061451
local.identifier.scopus2-s2.0-85060185765
local.number6
local.volume66
local.identifier.obd43916220
local.identifier.e-issn2464-8310
dc.project.IDGA16-26353S
dc.project.IDSentiment a jeho vliv na akciové trhy
dc.identifier.orcidFrancová, Blanka 0000-0003-3560-6267
local.contributor.affiliationPEF


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Zobrazit minimální záznam

CC BY-NC-ND 4.0
Kromě případů, kde je uvedeno jinak, licence tohoto záznamu je CC BY-NC-ND 4.0