During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

This paper shows that standard disaster risk models are inconsistent with the behavior of stock market volatility and credit spreads during disasters. We resolve this shortcoming by incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures...

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

This paper investigates the relation between credit risk and stock return for publicly traded firms in the Pakistan Stock Exchange (PSX) over the period 2000-2017. Using credit ratings as a proxy for credit risk, we find that this relation is negative in Pakistan, as low-rated stocks (i.e.,...

In this paper, I provide a structural approach to quantify the forces that govern the joint dynamics of corporate bond credit spreads and equity volatility. I build a dynamic model and estimate a wide array of fundamental shocks using a large firm-level database on credit spreads, equity prices,...

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Duration is an important parameter used by investors to choose between different investment opportunities in financial economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is becoming more relevant in the recent period, due...