文章基本信息

标题：The Time Decay of Bond Premium and Discount—An Analysis of the Time Passage Effect on Bond Prices
本地全文：下载
作者：Jorge Brusa ; Jenny Gu ; Grace Yaru Liu 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2014
卷号：04
期号：05
页码：323-330
DOI：10.4236/tel.2014.45043
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, we show that the price of a premium bond and the price of a discount bond will both move toward face value at an increasing rate as the bonds approach maturity. We present a mathematical proof to show that the decline in premium and discount decline over time, to be referred to as time decay, accelerates as time passes by. We also provide numerical examples and graphical representations to illustrate the time passage effect on bond prices and discuss the implications of the findings to bond investor and asset managers in light of the quantitative easing policies taken by central banks after the 2008 financial crisis.
关键词：Time Decay; Premium Bond; Discount Bond; Time Passage Effect; Quantitative Easing