IDEAS home Printed from https://ideas.repec.org/a/taf/raflxx/v3y2007i3p141-146.html
   My bibliography  Save this article

Refunding efficiency: a generalized approach

Author

Listed:
  • Andrew J. Kalotay
  • Deane Yang
  • Frank J. Fabozzi

Abstract

Refunding efficiency, a measure of the optimality of a refunding decision, is widely used in the call exercise decision for agency, corporate and municipal bonds. The original definition of efficiency assumes that the refunding bond is optionless. However, in practice, the refunding bond is often callable. We show that the commonly used method of incorporating the value of the refunding bond's call option into the efficiency calculation can lead to paradoxical results, and then suggest a new definition of refunding efficiency that overcomes this problem.

Suggested Citation

  • Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi, 2007. "Refunding efficiency: a generalized approach," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 141-146.
    • Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:141-146
    DOI: 10.1080/17446540600771076
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/17446540600771076
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17446540600771076?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    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:taf:raflxx:v:3:y:2007:i:3:p:141-146. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rafl20 .

    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.