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CDS-bond basis and bond return predictability
Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337
Persistent link: https://www.econbiz.de/10011664711
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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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Bond market response to the collapse of prominent investment banks
Li, Si; Madura, Jeff; Richie, Nivine - In: The financial review : the official publication of the … 48 (2013) 4, pp. 645-670
Persistent link: https://www.econbiz.de/10010197661
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High-yield versus investment-grade bonds : less risk and greater returns?
Li, Hsi-cheng; McCarthy, Joseph; Pantalone, Coleen C. - In: Applied financial economics 24 (2014) 19/21, pp. 1303-1312
Persistent link: https://www.econbiz.de/10010460175
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An empirical analysis of segmented pricing of bond systematic risk
Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464
Persistent link: https://www.econbiz.de/10010433255
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Does Bond Liquidity Affect Equity Returns?
Anderson, Mike - 2012
I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can …). Moreover, average abnormal returns are significantly related to the improvement in bond liquidity and probability of informed …
Persistent link: https://www.econbiz.de/10013100475
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The Credit Risk Premium and Return Predictability in High Yield Bonds
Thomas, Jason - 2012
I demonstrate that much of the time series variation in the credit spread on high yield bonds is attributable to changes in the “credit risk premium” rather than changes in expected default losses. The credit risk premium is the expected excess return investors earn from bearing default risk...
Persistent link: https://www.econbiz.de/10013107927
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Disaster Risks in Bond Returns
Lin, Hai - 2019
not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …
Persistent link: https://www.econbiz.de/10012860176
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Liquidity Risk and Yield Spreads of Green Bonds
Wulandari, Febi - 2018
This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …
Persistent link: https://www.econbiz.de/10012921889
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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 … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …
Persistent link: https://www.econbiz.de/10013206142