Measuring the Effect of Callability on Bond Yields
构建了一个理论模型来测量可赎回性对债券收益率利差的影响，并在Cook和Hendershott的实证框架中检验该模型，替代了简单的代理变量。
Most CORPORATE AND MANY government bond issues contain call provisions. Since both buyer and seller are concerned with the effect that the terms of call provisions ought to have on yields, considerable effort has been devoted to developing models of the relationship between yields and callability. Also of interest are the benefits from optimal designl and exercise of the call. In addition, researchers concerned with the impact on yields of credit risk, issue size, and other bond characteristics have had to make some provision in empirical models for callability. Generally, empirical models of the effect of callability have not controlled for the other factors determining yields. Neither have studies of other yield determinants attempted to construct sophisticated measures to represent callability. In this paper we develop a theoretically sound model of the effect on yield spreads of callability and test that specification within the context of a comprehensive empirical model of yield spreads first estimated by Cook and Hendershott [3] (henceforth, C-H). C-H provide for the effects of taxes, default risk, relative security supply, and, through a simple proxy, for callability. Substituting our more sophisticated measure of the effect of call, we are able to test our model against the