Pricing risky corporate bonds: An empirical study
实证检验了Baaquie基于Merton模型提出的风险公司债券定价模型，使用2011-2017年间23家美国公司的42只固定息票债券数据，发现该模型能较准确估计大多数债券价格，并量化了市场时间这一行为参数对长期债券定价精度的关键作用。
Abstract This paper empirically studies a model for pricing risky corporate bonds proposed by Baaquie—based on the seminal Merton. The proposed model provides an exact solution for the price of a risky corporate bond with a finite maturity and explains the market price of corporate fixed coupon bonds as being the result of the market risk that is carried by the bond. Baaquie's model is empirically tested using 42 fixed coupon bonds issued by 23 US corporations, between 2011 and 2017. It is found that the proposed model estimates most bond prices quite accurately. Market time (similar to the concept of psychological time ), which is distinct from calendar time , is quantified in the paper and is an exogenous behavioral parameter that plays a pivotal role in improving the accuracy of the pricing model for long‐maturity risky bonds.