{"id":"https://openalex.org/W3123554201","doi":"https://doi.org/10.2307/3595017","title":"An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds","display_name":"An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds","publication_year":2002,"publication_date":"2002-12-01","ids":{"openalex":"https://openalex.org/W3123554201","doi":"https://doi.org/10.2307/3595017","mag":"3123554201"},"language":"en","primary_location":{"id":"doi:10.2307/3595017","doi":"https://doi.org/10.2307/3595017","is_oa":false,"landing_page_url":"https://doi.org/10.2307/3595017","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.254410","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041284275","display_name":"Tao\u2010Hsien Dolly King","orcid":"https://orcid.org/0000-0002-9903-1645","observed_orcids":["https://orcid.org/0000-0002-9903-1645","https://orcid.org/0009-0002-5856-4979"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Tao-Hsien Dolly King","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5041284275"],"corresponding_institution_ids":[],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":0.5474,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.84334261,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"37","issue":"4","first_page":"693","last_page":"693"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.7163000106811523,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.7163000106811523,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.25049999356269836,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":0.01640000008046627,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/corporate-bonds","display_name":"corporate bonds","score":0.828000009059906},{"id":"https://openalex.org/keywords/yield-curve-slope","display_name":"yield curve slope","score":0.8450000286102295},{"id":"https://openalex.org/keywords/interest-rate-volatility","display_name":"interest rate volatility","score":0.9990000128746033},{"id":"https://openalex.org/keywords/bond-ratings","display_name":"bond ratings","score":0.6269999742507935},{"id":"https://openalex.org/keywords/coupon-rate","display_name":"coupon rate","score":0.5879999995231628},{"id":"https://openalex.org/keywords/time-to-maturity","display_name":"time to maturity","score":0.8190000057220459}],"concepts":[{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.7388821840286255},{"id":"https://openalex.org/C2993069335","wikidata":"https://www.wikidata.org/wiki/Q2155640","display_name":"Empirical examination","level":2,"score":0.6489644646644592},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5614926218986511},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.49732115864753723},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.39890003204345703},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39114993810653687},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.38528409600257874},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.25772184133529663},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1545315682888031}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.2307/3595017","doi":"https://doi.org/10.2307/3595017","is_oa":false,"landing_page_url":"https://doi.org/10.2307/3595017","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.254410","doi":"https://doi.org/10.2139/ssrn.254410","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.254410","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:cup:jfinqa:v:37:y:2002:i:04:p:693-721_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109000002908/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.254410","doi":"https://doi.org/10.2139/ssrn.254410","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.254410","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W1501276414","https://openalex.org/W1503295912","https://openalex.org/W1598750663","https://openalex.org/W1969956676","https://openalex.org/W1970043555","https://openalex.org/W1973560525","https://openalex.org/W1973576099","https://openalex.org/W1975082339","https://openalex.org/W1976307117","https://openalex.org/W1981157151","https://openalex.org/W1985596219","https://openalex.org/W1986870691","https://openalex.org/W1988697445","https://openalex.org/W1989126645","https://openalex.org/W1995834279","https://openalex.org/W1998031535","https://openalex.org/W2001803193","https://openalex.org/W2018381687","https://openalex.org/W2022049145","https://openalex.org/W2024296014","https://openalex.org/W2027707834","https://openalex.org/W2028517430","https://openalex.org/W2031380492","https://openalex.org/W2040039427","https://openalex.org/W2045406342","https://openalex.org/W2047628544","https://openalex.org/W2065903986","https://openalex.org/W2076057077","https://openalex.org/W2077029691","https://openalex.org/W2077791698","https://openalex.org/W2087894698","https://openalex.org/W2091205586","https://openalex.org/W2092784029","https://openalex.org/W2098387993","https://openalex.org/W2100935590","https://openalex.org/W2105056100","https://openalex.org/W2112885175","https://openalex.org/W2126301320","https://openalex.org/W2135498306","https://openalex.org/W2158448835","https://openalex.org/W2584798035","https://openalex.org/W2751271985","https://openalex.org/W2890304845","https://openalex.org/W3021444882"],"related_works":["https://openalex.org/W2049612408","https://openalex.org/W2092901184","https://openalex.org/W2021145401","https://openalex.org/W1561994941","https://openalex.org/W4406333611","https://openalex.org/W6980790901","https://openalex.org/W1988192963","https://openalex.org/W2103122120","https://openalex.org/W1587667794","https://openalex.org/W2072197606"],"abstract_inverted_index":{"This":[0],"study":[1],"examines":[2],"call":[3,19,29,41,60,77,81,99,120,138,142],"option":[4,20],"values":[5,30,61,102],"implicit":[6],"in":[7,108,118],"U.S.":[8],"corporate":[9],"bonds":[10,70],"during":[11],"the":[12,39,47,50,109,119,128,131,135],"period":[13,111,140],"1973":[14],"to":[15,33,97,106,116],"1994.":[16],"The":[17,57,64,83],"average":[18],"value":[21],"is":[22,124],"2.25":[23],"percent":[24],"of":[25,49,59,130,137],"par.":[26],"Over":[27],"time,":[28],"remain":[31],"close":[32],"zero":[34],"until":[35],"one":[36],"year":[37],"before":[38],"first":[40],"date,":[42],"reach":[43],"a":[44],"maximum":[45],"at":[46],"beginning":[48],"callable":[51,110],"period,":[52],"and":[53,91],"slowly":[54],"decrease":[55,113],"thereafter.":[56],"determinants":[58],"are":[62],"examined.":[63],"results":[65,84],"show":[66,86],"that":[67,87,127],"higher":[68,92,98],"coupon":[69],"issued":[71],"by":[72],"firms":[73],"with":[74,104,114],"an":[75],"aggressive":[76],"behavior":[78],"have":[79],"larger":[80],"values.":[82,100,143],"also":[85],"lower":[88],"interest":[89,93],"rates":[90],"rate":[94],"volatility":[95],"lead":[96],"Call":[101],"increase":[103],"time":[105,115],"maturity":[107,117],"but":[112],"protection":[121,139],"period.":[122],"There":[123],"no":[125],"evidence":[126],"slope":[129],"yield":[132],"curve":[133],"or":[134],"length":[136],"influences":[141]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2021-02-01T00:00:00"}
