Showing 1 - 10 of 48
This paper represents the first study of retail deposit spreads of UK financial institutions using stochastic interest rate modelling and the market comparable approach. By replicating quoted fixed deposit rates using the Black Derman and Toy (1990) stochastic interest rate model, we find that...
Persistent link: https://www.econbiz.de/10005357671
We study the role of diversification in reducing the volatility of corporate bond returns induced by changes in credit spreads. Specifically, we look at how credit risk can be diminished when a portfolio is diversified across countries, industry sectors, maturities, seniority types and credit...
Persistent link: https://www.econbiz.de/10005558325
The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio … and bid-ask spreads are utilized to assess the existence of liquidity premia. Other macroeconomic variables are used to … control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in …
Persistent link: https://www.econbiz.de/10011210427
Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of...
Persistent link: https://www.econbiz.de/10010838040
A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...
Persistent link: https://www.econbiz.de/10008542375
This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, common...
Persistent link: https://www.econbiz.de/10005178161
Recent research has discussed the possible role of unsystematic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns...
Persistent link: https://www.econbiz.de/10005558315
Research into medieval interest rates has been hampered by the diversity of terms and methods used by historians, creating serious misconceptions in the eporting of medieval interest rates, which have then been taken at face value by later scholars. This has had important repercussions on the...
Persistent link: https://www.econbiz.de/10008542354
This paper examines the relationship between credit spreads on industrial bonds and the underlying Treasury term-structure. Unlike previous studies, we use zero-coupon spot rates, which eliminate coupon bias, and so allow for a consistent study both within and across the different credit...
Persistent link: https://www.econbiz.de/10005738263
We examine the determinants of the at issue time to maturity of corporate bonds. We find evidence that corporations partly determine the at issue maturity of bonds by responding to economic conditions. They also appear to immunize by matching the maturity of assets with the at issue maturity of...
Persistent link: https://www.econbiz.de/10005558303