Corporate bonds: fixed versus stochastic coupons—an empirical study.

Autor:	Baaquie, Belal Ehsan, Karim, Muhammad Mahmudul
Předmět:	ISLAMIC finance EMPIRICAL research PROFIT-sharing FIXED prices PROFIT & loss CORPORATE bonds
Zdroj:	Journal of Asset Management; Feb2024, Vol. 25 Issue 1, p113-128, 16p
Abstrakt:	This paper studies a model proposed by Baaquie (Phys A Stat Mech Appl 541:123367, 2020b) for which a corporate bond pays coupons that are stochastic—depending on the valuation of the issuer. It is shown that by considering bonds with stochastic coupons that are 'equivalent' to fixed coupon bonds (defined in the paper), the price of the fixed coupon bond can be accurately explained. The proposed model of stochastic coupons has a built-in hedge for the issuer—and has the feature of profit and loss sharing between investor and issuer making it a viable instrument for Islamic finance. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
Externí odkaz:	Zobrazit plný text záznamu Full text from SpringerLink