IDEAS home Printed from https://ideas.repec.org/a/ban/bancar/v06y2014mjunep28-48.html
   My bibliography  Save this article

An analysis on the difference between bank index-linked bonds’ prices and their fair-value

Author

Listed:
  • Michele Leonardo Bianchi

    (Banca d’Italia)

Abstract

Index-linked bonds are structured products whose returns depend on performance of one or more financial indexes. They can be seen as the sum of a bond and an option (derivative component).The work explores some of the issues for the evaluation of the theoretical value (or fair value) of this type of bonds, providing an order of magnitude of the difference between the issue price (gross of fees) and the theoretical value (mispricing), and its evolution in time (mispricing on the secondary market).The present study has several purposes: 1) examine the market for indexlinked bonds listed on the Italian Stock Exchange (Mot); 2) describe a model for the evaluation of the theoretical value (or fair-value); 3) understand through an econometric model the determinants of mispricing on the secondary market

Suggested Citation

  • Michele Leonardo Bianchi, 2014. "An analysis on the difference between bank index-linked bonds’ prices and their fair-value," BANCARIA, Bancaria Editrice, vol. 6, pages 28-48, June.
    • Handle: RePEc:ban:bancar:v:06:y:2014:m:june:p:28-48
    as

    Download full text from publisher

    File URL: http://www.bancaria.it/en/an-analysis-on-the-difference-between-bank-index-linked-bonds-prices-and-their-fair-value
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ban:bancar:v:06:y:2014:m:june:p:28-48. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Francesco Emiliano Tani (email available below). General contact details of provider: https://www.bancaria.it .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.