PT  - JOURNAL ARTICLE
AU  - Andrew D. Clare
AU  - M. Currim Oozeer
AU  - Richard Preistley
AU  - Stephen H. Thomas
TI  - Modeling the Risk Premium on Eurodollar Bonds
AID  - 10.3905/jfi.2000.319255
DP  - 2000 Mar 31
TA  - The Journal of Fixed Income
PG  - 61--73
VI  - 9
IP  - 4
4099  - https://pm-research.com/content/9/4/61.short
4100  - https://pm-research.com/content/9/4/61.full
AB  - In 1998 the outstanding value of the Eurobond market was estimated to be $2,648.3 billion, making it one of the largest capital markets of the world. Despite its size, this market has not attracted the attention from academics that it deserves. One reason for its relative neglect is likely the unavailability of a suitable database of Eurobond returns and related information. Using a newly constructed Eurobond database, the authors present evidence of the systematic relationship between macroeconomic and financial sources of risk and the Eurobond U.S. dollar bond market between 1992 and 1997. A small set of macroeconomic and financial variables, more frequently used to model the equity risk premium, can help explain the risk premium. The model can be used to form portfolios of Eurobonds that are insulated from these sources of systematic risk.