Thesis (Ph. D.)--University of Wisconsin--Madison, 1985. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves 296-302).

Thesis (M.P.A.)--Kutztown University of Pennsylvania, 1991. / Source: Masters Abstracts International, Volume: 45-06, page: 2950. Typescript. Includes bibliographical references (leaf [47]).

Municipal Bonds represent an important but understudied source of funds for governments. This paper seeks to shed light on the previously hidden political choices that influence the choices of governments to pursue bonds, as well as to act as a springboard for future bond research. / text

Thesis (Ph. D.)--Columbia University, 1929. / Vita. Published also as Teachers College, Columbia University, Contributions to education, no. 368. eContent provider-neutral record in process. Description based on print version record. Bibliography: p. 115-127.

Thesis (Ed. D.)--Temple University, 1930. / The cities studied were New York, Chicago, Philadelphia, Los Angeles and Detroit. Bibliography: p. 105-110.

This dissertation empirically examines refunding decisions employed by issuers of tax-exempt bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the time value. The issuer can realize at least as much as the intrinsic value by exercising immediately, when the option is in-the-money. Usually it is optimal for the holder of an in-the money American option to wait rather than exercise immediately, because the option has time value. It is rational for the holder to exercise the option when the total value of the option is no more than the intrinsic value. Option pricing theory can be used to identify two sub-optimal refunding strategies: those that refund too early, and those that refund too late. In such cases the holder incurs losses. I analyze the refunding decisions for two different samples of tax-exempt bonds issued between 1986 and 1993: the first consists of 2,620 bonds that are called, and the second contains 23,976 bonds that are never called. The generalized Vasicek (1977) model in the Heath, Jarrow, and Morton (1992) framework is used to construct binomial trees for interest rates, bond prices, and call option prices. The option pricing lattice is then used to compute the loss in value from sub-optimal refunding strategies, refunding efficiency, and months from optimal time for bonds in these two samples. Results suggest that sub-optimal refunding decisions cause losses to the issuers, which are present across bond and issuer characteristics. For the pooled sample of 26,596 bonds, the loss in value from sub-optimal refunding decisions totaled $7.2 billion, amounting to a loss of about 1.75% of total principal amount. Results indicate that issuers either wait too long to refund or never refund and cannot realize the present value saving of switching a high coupon bond with a low coupon bond, over a longer period of time. These results critically depend on the assumptions of underlying term structure model and are sensitive to model calibrated parameter values. / Ph. D.

The purpose of this study was to (1) identify the variables important in analyzing a general obligation municipal bond's investment quality using improved statistical techniques, (2) develop models that accurately classify municipal bonds into investment quality versus non-investment quality using variables identified in the literature and by practitioners, and (3) evaluate the stability of the variables in predicting investment quality over time. A review of the literature revealed over 170 variables thought to indicate a bond's investment quality. Because banks hold a large percentage of municipal bond issues and some perform their own credit analysis, bond analysts were queried to determine what variables they use in making investment decisions. Eight logit models were developed. Four models were based upon variables identified in the literature; four by practitioners. With each group, models were developed using sized and non-sized variables and principal components developed from the raw variables as input. Data from a random sample of general obligation municipal bonds issued in 1982-1985 were used to evaluate the models. The non-sized PCA literature model correctly classified 96.47 percent of the sample municipal bonds. The sized PCA literature model correctly classified 91.49 percent; non-sized PCA practitioner, 92.47 percent; and the sized PCA practitioner, 88.30 percent. The models developed using raw data were, in all cases, less successful in classifying bonds as investment quality. The results for the non-sized raw data literature model was a correct classification of 92.11 percent; raw data sized literature model, 90.32 percent; raw data non-sized practitioner model, 87.36 percent; and raw data sized practitioner model, 85.06 percent. The most significant variables as seen in the eight models were CHGPOP and PERCAP. As noted, the literature models outperformed the related practitioner models. Also, the use of principal components as inputs improves the ability to classify the bonds. Lastly, the variables determinative of investment quality are not stable over time. / Ph. D.

Thesis (M.C.P.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1981. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ROTCH. / Bibliography: leaves 119-123. / by Alexander Quintus Jaegerman. / M.C.P.

This paper utilizes a sample of 6,185 locally-issued, general obligation municipal bonds to examine the relationship between a city’s cumulative pension contributions and its cost of borrowing. Following the Great Recession unfunded public pension liabilities have soared to record highs, which, in theory, represent additional credit risks and may hinder local governments’ ability to service their outstanding debt. After controlling for bond characteristics, bond ratings, and issuer characteristics, the empirical analysis finds a statistically significant correlation between pension costs and borrowing costs, defined as the spread between the effective offering yield on municipal debt and the yield on a maturity-matched treasury on the municipal bond’s date of issuance. The results suggest that a 1% increase in cumulative city pension costs as a percent of city revenue is associated with an increase in yield spreads ranging from 1.2 to 3.5 basis points. These findings indicate that municipal bond investors do in fact consider pension expenses when pricing municipal bonds and suggest that addressing unfunded pension liabilities by mandating higher annual contributions will lead to higher borrowing costs for local governments.

Thesis (Ph. D.)--UCLA, 2006. / Vita. Includes bibliographical references.