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Endogenous debt maturity : liquidity risk vs. default risk

Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018

Persistent link: https://www.econbiz.de/10011950510

An empirical analysis of the cost of borrowing

Faria e Castro, Miguel; Jordan-Wood, Samuel; Kozlowski, … - 2024

Persistent link: https://www.econbiz.de/10015069805

Out-of-sample predictions of bond excess returns and forward rates : an asset-allocation perspective

Thornton, Daniel L.; Valente, Giorgio - 2010

Persistent link: https://www.econbiz.de/10008668608

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Persistent link: https://www.econbiz.de/10011410917

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011756113

Bond finance and the leverage ratio

Guender, Alfred V. - 2022

Persistent link: https://www.econbiz.de/10013545693

Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

Persistent link: https://www.econbiz.de/10011410916

The impact of the creation of a sovereign ESG reference yield curve on corporate ESG bonds issuances from Latin America and the Caribbean

Cunha, Daniel; Craveiro, Giovana; Rossi, Marina - 2024

This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform … reference yield curve can boost the private ESG bond market. Using a difference-in-differences (DID) approach, we empirically … bond issuances and a 25 percent increase in the number of ESG corporate bond issuances in the external markets after three …

Persistent link: https://www.econbiz.de/10014529872

The limits of limitless debt

Osband, Kent; Capasso, Salvatore; Filoso, Valerio - 2022

Persistent link: https://www.econbiz.de/10014227377