The Valuation of Corporate Coupon Bonds
提出一个无套利估值模型，通过更现实的回收率过程来定价公司附息债券，发现假设所有息票都能回收会导致显著定价误差，且该模型在交易数据中表现更优。
Abstract This article proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes a more realistic recovery rate process. Most existing studies use a recovery rate process that is misspecified because it includes recovery for coupons due after default. Misspecification errors from assuming recovery on all coupons can be substantial; they increase with recovery rates, coupons, maturity, and default probabilities. For a large sample of market transactions, i) our model has lower pricing errors than one assuming recovery on all coupons and ii) the magnitude of our model’s outperformance is linked to misspecification errors from assuming recovery on coupons.