New Methodology for Event Studies in Bonds
Abstract
The new methodology to study the impact of corporate events on bonds is comprised of a sampling technique and regression model. The method is different from standard approaches, motivated by the belief that event impact should be reflected in levels of yield premium. The regression tests for a change in average bond price after an event, statistical inference is made by estimates of a dummy variable. A new sampling method is described to accommodate the irregular spacing of bond trades in time.
Fields of Study & Subjects
Credit Risk and Financial Regulations
Financial Markets and Investment Strategies
Monetary Policy and Economic Impact
Publication details
- Journal / source
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Publication date
- 1 January 2026
- Language
- EN
- Document type
- Preprint