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The Financial Performance of Low-Grade Municipal Bond Funds

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  • John Kihn

Abstract

This study analyzes the risks and returns of low-grade municipal bonds funds by examining the financial performance of low-grade municipal bond funds over the study period. The analysis focuses on the effect of embedded options on low- and high-grade municipal bonds. After controlling for the effect of interest-rate call and put periods, I found that low-grade municipal bond funds have periods during which their returns are statistically greater than those of high-grade funds. Contingent claims analysis risky-debt pricing models which do not incorporate interest rate risk cannot explain the principal results of the study.

Suggested Citation

  • John Kihn, 1996. "The Financial Performance of Low-Grade Municipal Bond Funds," Financial Management, Financial Management Association, vol. 25(2), Summer.
    • Handle: RePEc:fma:fmanag:kihn96
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    Cited by:

    1. Dritsakis, Nikolaos & Grose, Christos & Kalyvas, Lampros, 2006. "Performance aspects of Greek bond mutual funds," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 189-202.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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