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- W2210018108 abstract "This thesis develops a model of closed end bond funds that helps us better understand arecent finding in the literature. In 2012 Elton et al. published an empirical study of closed end bond funds (CEBFs) and they suggested that the use of leverage in CEBFs could explain the fact that these funds had higher returns than those of comparable open end funds. This thesis provides a framework for estimating the impact of leverage on expected return and risk in this context. We use a Merton type approach to model both unlevered and levered CEBFs. The assets of a CEBF are primarily risky bonds. Each of these risky bonds can be analysed in terms of options under the Merton approach. We create an unlevered CEBF model by extending Merton's model to a multi-firm framework torepresent a CEBF composed of several risky bonds. We then add leverage by assuming theCEBF issues debt. This permits us to model the securities of a levered closed end bondfund as compound options. The equity and debt of the CEBF can be decomposed intooptions on a portfolio of options. This framework enables us to compute the expected rate of return and standard deviation of an unlevered and levered CEBF. We obtain resultsthat are comparable to those observed in Elton et al." @default.
- W2210018108 created "2016-06-24" @default.
- W2210018108 creator A5029873790 @default.
- W2210018108 date "2013-08-28" @default.
- W2210018108 modified "2023-10-02" @default.
- W2210018108 title "A Structural Modelling Approach to Closed End Bond Funds" @default.
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