This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …

model, I show that declining real interest rates since the 1980s increased the risk premium, driving the increase in risky …

believe our work will open up a new risk investing paradigm for those seeking long-term advantages. …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the …

-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying …