Search Results - subject:"Systematic Risk Premium"

Panel Data Models with Unobserved Multiple Time-Varying Effects to Estimate Risk Premium of Corporate Bonds

Bada, Oualid; Kneip, Alois - 2010

We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate...

Persistent link: https://www.econbiz.de/10010293375

Panel Data Models with Unobserved Multiple Time - Varying Effects to Estimate Risk Premium of Corporate Bonds

Bada, Oualid; Kneip, Alois - University of Bonn, Germany - 2010

Persistent link: https://www.econbiz.de/10008671393

Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds

Bada, Oualid; Kneip, Alois - Volkswirtschaftliche Fakultät, … - 2010

We use a panel cointegration model with multiple time- varying individual effects to control for the missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate the...

Persistent link: https://www.econbiz.de/10008684909

A time-varying common risk factor affecting corporate yield spreads

Kagraoka, Yusho - In: The European Journal of Finance 16 (2010) 6, pp. 527-539

multiplied by a bond-specific unobservable is identified as a systematic risk premium. In disentangling the systematic risk … premium, both credit and liquidity risks are evaluated; the credit risk is assessed by bond rating, and the liquidity risk is …

Persistent link: https://www.econbiz.de/10008674501