Acta Univ. Agric. Silvic. Mendelianae Brun. 2018, 66, 1451-1458
Published online 2018-12-19

An Analysis of the Impact of Selected Factors on the Bond Market

Blanka Francová

Department of Economics, Faculty of Business and Economics, Mendel University in Brno, Zemědělska 1, 613 00 Brno, Czech Republic


1. ARMSTRONG, W. J., KNIF, J., KOLARI, J. W. and PYNNÖNEN, S. 2012. Exchange risk and universal returns: A test of international arbitrage pricing theory. Pacific-Basin Finance Journal, 20(1): 24–40. <>
2. BRENNAN, M. J., CHORDIA, T. and SUBRAHMANYAM, A. 1998. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, 49(3): 345–373. <>
3. ELTON, E. J., GRUBER, M. J., AGRAWAL, D. and MANN, C. 2010. Factors affecting the valuation of corporate bonds. In: Investments and Portfolio Performance. World Scientific, pp. 53–73.
4. CHAO, S-W. 2016. Do economic variables improve bond return volatility forecasts? International Review of Economics & Finance, 46: 10–26. <>
5. CHO, D. C., EUN, C. S. SENBET, L. W. 1986. International Arbitrage Pricing Theory: An Empirical Investigation. The Journal of Finance, 41(2): 313–329. <>
6. CHRISTENSEN, J. H. E. and RUDEBUSCH, G. D. 2012 The Response of Interest Rates to US and UK Quantitative Easing. The Economic Journal, 122(564): F385–F414. <>
7. GEAMBASU, C., JIANU, I., HERTELIU, C. and GEAMBASU, L. 2014. Macroeconomic Influence on Shares’ return Study Case: Arbitrage Pricing Theory (APT) Applied on Bucharest Stock Exchange. Economic computation and economic cybernetics studies and research / Academy of Economic Studies, 48(2): 1–18.
8. HUANG, J.-Z. and KONG, W. 2013. Explaining credit spread changes: Some new evidence from option-adjusted spreads of bond indices. Working Paper No. FIN-03-013. Stern School of Business.
9. LIU, M.-H., MARGARITIS, D. and TOURANI-RAD, A. 2012. Risk appetite, carry trade and exchange rates. Journal of International Financial Markets, 23(1): 48–63.
10. LUDVIGSON, S. C. and NG, S. 2009. Macro Factors in Bond Risk Premia. The Review of Financial Studies, 22(12): 5027–5067. <>
11. MALHOTRA, K. 2010. Autoregressive multifactor APT model for U.S. Equity Markets. MPRA Paper 23418. MPRA.
12. MIDDLETON, L. P. and SATCHELL, S. E. 2001. Deriving the Arbitrage Pricing Theory When the Number of Factors Is Unknown. Quantitative Finance, 1(5): 502-508. <>
13. PANDA, M. R. and PARIDA, J. K. 2013. A study on asset price fluctuation and the impact of foreign exchange rate on equity pricing. Acta de Gerencia Ciencia, 1(1): 2321–1741.
14. REZENDE, R. B. 2017. The interest rate effects of government bond purchases away from the lower bound. Journal of International Money and Finance, 74: 165–186. <>
15. SERCU, P. A. 1980. Generalization of the international asset pricing model. Revue de I’Association Francaise de Finance, 1: 91–135.
16. SIRR, G., GARVEY, J. and GALLAGHER, L. 2011. Emerging markets and portfolio foreign exchange risk: An empirical investigation usingthe value-at-risk decomposition technique. Journal of International Money and Finance, 30(8): 1749–1772. <>
17. SOLNIK, BRUNO. 1974. Why Not Diversify Internationally Rather than Domestically? Financial Analysts Journal, 30(4): 48–54. <>
18. SOLNIK, B. 1983. International Arbitrage Pricing Theory. Journal of Finance, 38(2): 449–457. <>
19. VICEIRA, L. M. 2011. Bond risk, bond return volatility, and the term structure of interest rates. International Journal of Forecasting, 28(1): 97–117. <>
front cover

ISSN 1211-8516 (Print)

ISSN 2464-8310 (Online)

Current issue

Review Management System NEW Indexed in DOAJ