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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …
Persistent link: https://www.econbiz.de/10012259354
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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …
Persistent link: https://www.econbiz.de/10012422114
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Risk and Return in International Corporate Bond Markets
De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …
Persistent link: https://www.econbiz.de/10012825946
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Risk and Return in International Corporate Bond Markets
Bekaert, Geert - 2020
Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond factor plays a dominant role in explaining the...
Persistent link: https://www.econbiz.de/10012849546
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The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
Bekaert, Geert - 1999
In this paper, we ask whether high levels of risk aversion can explain the observed predictability of excess returns … success, we assume that agents' preferences display first-order risk aversion. This preference specification implies that … agents respond more strongly to consumption risk than would be the case under conventional Von Neuman- Morgenstern …
Persistent link: https://www.econbiz.de/10012790130
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On the Link between the Volatility and Skewness of Growth
Bekaert, Geert - 2018
In a sample of 110 countries over the period 1960–2009, we document a positive relation between the volatility and skewness of growth in the cross-section. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets, and sharp financial...
Persistent link: https://www.econbiz.de/10012938656
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The Time Variation in Risk Appetite and Uncertainty
Bekaert, Geert - 2020
both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals and risk … aversion accommodate both heteroskedasticity and non-Gaussianity. The model delivers measures of risk aversion and uncertainty … at the daily frequency. We verify that equity variance risk premiums are very informative about risk aversion, whereas …
Persistent link: https://www.econbiz.de/10012853481
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On the Link between the Volatility and Skewness of Growth
Bekaert, Geert; Popov, Alexander A. - 2020
In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and skewness of growth in the cross-section. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets, and sharp financial crises-driven...
Persistent link: https://www.econbiz.de/10014032598
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Asset Return Dynamics under Bad Environment Good Environment Fundamentals
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates …
Persistent link: https://www.econbiz.de/10005037685
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On the Link Between the Volatility and Skewness of Growth
Bekaert, Geert; Popov, Alexander - National Bureau of Economic Research (NBER) - 2012
In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and skewness of growth in the cross-section. The relation holds regardless of initial level of economic development and of subsequent long-run growth rate. We argue that this novel...
Persistent link: https://www.econbiz.de/10010821803