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The Pricing and Performance of New Corporate Bonds : Sorting Out Underpricing and Liquidity Effects
Kozhanov, Igor - 2012
initial underpricing and higher liquidity: New bonds generally have lower yields than seasoned benchmarks, and average … benchmark-adjusted returns form a humped pattern by horizon. We then test whether liquidity effects in bonds are linked to … issuers' equity liquidity. Generally, we find that equity and bond illiquidity are linked at the firm level, and that equity …
Persistent link: https://www.econbiz.de/10013099377
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Illiquid Asset Investing
Ang, Andrew - 2013
After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...
Persistent link: https://www.econbiz.de/10013088632
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The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Xiao, Tim - 2015
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...
Persistent link: https://www.econbiz.de/10013035565
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Asset Pricing with Subtle Information : Evidence from Equity Analysts Responses to Corporate Transactions
Cui, Rui - 2013
Certain corporate transactions (eg. insider purchases and buyback announcements) are known to be robust predictors of firm-level returns. However, I empirically show equity analysts largely ignore such informative, yet subtle, signals of stocks they cover. A trading strategy that follows...
Persistent link: https://www.econbiz.de/10013090296
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A Decade of Alternative Beta
Suhonen, Antti - 2019
We provide first empirical evidence of the long-term realized performance of alternative beta strategies. Despite diversified risk premia portfolios achieving satisfactory Sharpe ratios of 0.80 – 1.07 over the past decade, we show that up to two thirds of the performance can be explained by...
Persistent link: https://www.econbiz.de/10012892220
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Evaluating Private Equity Performance Using Stochastic Discount Factors
Gredil, Oleg - 2020
We examine the performance of 2,790 private equity (PE) funds incepted during 1979-2008 using Stochastic Discount Factors (SDFs) implied by the two leading consumption-based asset pricing models (CBAPMs) — external habit and long-run risks — as their assumptions appear consistent with...
Persistent link: https://www.econbiz.de/10012845721
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Investor ESG Tastes and Asset Pricing
Wang, Liying; Wu, J. (Julie) - 2022
This study uses security-level investor demand and dynamic pricing information in the primary bond market to examine investor tastes for ESG assets and their pricing effects. We find that green bonds are significantly more oversubscribed than their conventional counterparts offered by the same...
Persistent link: https://www.econbiz.de/10013405355
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity …
Persistent link: https://www.econbiz.de/10005413135
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640