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Mispricing of Make-Whole Call Provisions by Ajay Sathya is a document available to read on EtoBox.

This document summarizes a study that examines whether make-whole call provisions in corporate bonds are fairly priced. The study develops a structural model to calculate the incremental yield attributable to make-whole call provisions and compares this to observed yields. The model underestimates observed incremental yields, suggesting make-whole call provisions have been overpriced. Extending the model to include market imperfections like taxes and transactions costs increases model yields but they still

Author

Ajay Sathya

Language

EN