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In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market
Bai, Jennie - 2019
We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond returns. We also find a positive but insignificant relation...
Persistent link: https://www.econbiz.de/10012479944
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Equity Volatility and Corporate Bond Yields
Campbell, John Y. - 2002
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …
Persistent link: https://www.econbiz.de/10012469753
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The Information in the High Yield Bond Spread for the Business Cycle : Evidence and Some Implications
Gertler, Mark - 2000
The market for high yield (below investment-grade) corporate bonds developed in the middle 1980s. We show that, since this time, the high yield spread has had significant explanatory power for the business cycle. We interpret this finding as possibly symptomatic of financial factors at work in...
Persistent link: https://www.econbiz.de/10012471226
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Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns
Bartram, Söhnke M. - 2020
We study the role played by "bond book-to-market" ratios in U.S. corporate bond pricing. Controlling for numerous risk factors tied to default and priced asset risk, including yield-to-maturity, we find that the ratio of a corporate bond's book value to its market price strongly predicts the...
Persistent link: https://www.econbiz.de/10012481203
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Liquidity Risk of Corporate Bond Returns : A Conditional Approach
Acharya, Viral V. - 2010
We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity...
Persistent link: https://www.econbiz.de/10012462262
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Expected Returns, Yield Spreads, and Asset Pricing Tests
Campello, Murillo - 2005
We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...
Persistent link: https://www.econbiz.de/10012467360
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Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A. - 2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012468275
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On the Fundamental Relation Between Equity Returns and Interest Rates
Choi, Jaewon - 2014
This paper uses contingent claim asset pricing and exploits capital structure priority to better understand the relation between corporate security returns and interest rate changes (i.e., duration). We show theoretically and, using a novel dataset, confirm empirically that lower priority...
Persistent link: https://www.econbiz.de/10012458477
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Issuer Quality and the Credit Cycle
Greenwood, Robin - 2011
We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low...
Persistent link: https://www.econbiz.de/10012461460
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Credit Market Shocks and Economic Fluctuations : Evidence from Corporate Bond and Stock Markets
Gilchrist, Simon - 2009
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond...
Persistent link: https://www.econbiz.de/10012463785