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Inferring default correlation from equity return correlation

Liu, Sheen; Qi, Howard; Shi, Jian; Xie, Yan Alice - In: European financial management : the journal of the … 21 (2015) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10010516668

Defaults and returns in the high-yield bond market : third-quarter 2013 review

Altman, Edward I.; Kuehne, Brenda J. - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 269-296

Persistent link: https://www.econbiz.de/10011949626

Bankruptcy, credit risk, and high yield junk bonds

Altman, Edward I. - 2002

Persistent link: https://www.econbiz.de/10001557610

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

Persistent link: https://www.econbiz.de/10012307696

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014527087

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

Corporate stock and bond return correlations and dynamic adjustments of capital structure

Nieto Domenech, Belen; Rodriguez, Rosa - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 705-746

Persistent link: https://www.econbiz.de/10011442336

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

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

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …

Persistent link: https://www.econbiz.de/10011810905

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