Abstract
The novel features of this study consist in applying a conventional multifactor global market model to emerging market sovereign bond index rates of return that are denominated in US dollars and subsequently relating the unexplained residuals from the market model's estimates of each country's total bond index return to country-specific factors. They include political and financial risks as well as other presumed determinants of bond index rates of return. The results of our study confirm that sovereign countries' bond index rates of return that include interest payments and capital gains/losses may be explained in terms of conventional bond pricing models by combining global market factors with local risk and other country-specific influences.
Original language | English |
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Pages (from-to) | 105-121 |
Number of pages | 17 |
Journal | Journal of Multinational Financial Management |
Volume | 16 |
Issue number | 2 |
DOIs | |
Publication status | Published - Apr 2006 |