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Systemic default and return predictability in the stock and bond markets
Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016
Using a structural model of default, we construct a measure of systemic default defined as the probability that many … firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks …. The systemic default measure spikes during recession periods and is correlated with macroeconomic indicators and future …
Persistent link: https://www.econbiz.de/10011810905
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping …
Persistent link: https://www.econbiz.de/10012613371
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Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014250993
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Cross-market information transmission and stock market volatility prediction
Wang, Yide; Chen, Zan; Ji, Xiaodong - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014485465
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Healthy ... distress ... default
Kakushadze, Zura - In: Journal of risk & control 6 (2019) 1, pp. 113-119
Persistent link: https://www.econbiz.de/10012237605
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Liquidity risk of corporate bond returns : conditional approach
Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386
Persistent link: https://www.econbiz.de/10010208670
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Downside risk and defaultable bond returns
Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110
This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions. Our empirical analysis indicates that...
Persistent link: https://www.econbiz.de/10013206142
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Fractional integration of the price-dividend ratio in a present-value model of stock prices
Goliñski, Adam; Madeira, João; Rambaccussing, Dooruj - 2015
Persistent link: https://www.econbiz.de/10010513447
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Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467
Persistent link: https://www.econbiz.de/10012203261
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Does consumption-wealth ratio signal stock returns? : VECM results for Germany
Fang, Xu (contributor) - 2005
the Conditional-Subset VECM, cay signals real stock returns and excess returns in both data sets significantly. The …
Persistent link: https://www.econbiz.de/10002633392