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Capital structure arbitrage revisited
Wojtowicz, Marcin - 2014
We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …
Persistent link: https://www.econbiz.de/10010415520
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Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001884326
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Have Euro area government bond spreads converged to their common state?
Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008
Persistent link: https://www.econbiz.de/10003705988
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Have Euro area government bond risk premia converged to their common state?
Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008
We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky assets (over a risk-free rate) on top of the systematic component...
Persistent link: https://www.econbiz.de/10011374402
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://www.econbiz.de/10011531096
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Price effects of sovereign debt auctions in the Euro-zone : the role of the crisis
Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - 2013
Persistent link: https://www.econbiz.de/10010191221
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Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program
Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017
This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...
Persistent link: https://www.econbiz.de/10011715916
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Default risk premia on government bonds in a quantitative macroeconomic model
Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
Persistent link: https://www.econbiz.de/10003913174
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Default risk premia on government bonds in a quantitative macroeconomic model
Jüßen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...
Persistent link: https://www.econbiz.de/10011379436
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Fiscal deficits, financial fragility, and the effectiveness of government policies
Kirchner, Markus; Wijnbergen, Sweder van - 2012
Persistent link: https://www.econbiz.de/10010191012