Showing 1 - 10 of 233
Persistent link: https://www.econbiz.de/10012801548
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
such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …
Persistent link: https://www.econbiz.de/10011617371
such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …
Persistent link: https://www.econbiz.de/10013132852
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
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
Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities … like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long … contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held …
Persistent link: https://www.econbiz.de/10012848093
Persistent link: https://www.econbiz.de/10009744702
Persistent link: https://www.econbiz.de/10010382050
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...
Persistent link: https://www.econbiz.de/10013035710