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Sentiment Analysis of European Bonds 2016–2018

Schwendner, Peter - 2019

. Before the French presidential elections in 2017, the French bond spread widened together with the estimated Le Pen election …

Persistent link: https://www.econbiz.de/10012863752

The Co-Movement of Sovereign Credit Default Swaps and Bonds, and Stock Markets in Europe

Corzo, M. Teresa - 2012

In this paper we investigate the relationship between sovereign CDSs and Bonds, and Equity markets for 13 European countries during the period 2008-2010. We confirm the leading role incorporating new information of Equity markets during 2008-2009, but we find large evidence supporting that...

Persistent link: https://www.econbiz.de/10013111139

Bond Liquidity and Dealer Inventories : Insights from US and European Regulatory Data

Ivanov, Plamen - 2020

Most corporate bond research on liquidity and dealer inventories is based on the USD-denominated bonds transactions in … how using the CUSIP-level information from TRACE and ZEN affects the computation of bond liquidity metrics, dealer … combined dataset. When measuring bond liquidity with the Amihud ratio, we find strong relationships in both TRACE and ZEN but …

Persistent link: https://www.econbiz.de/10012842570

Momentum in the European Corporate Bond Market : The Role of Bond-Specific Returns

Barth, Florian - 2018

This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro … portfolios varies over time and is related to bond characteristics. Taking this into account, we apply characteristics …-based adjustments in context with performance measurement and find momentum profits to remain robust. Most importantly, bond …

Persistent link: https://www.econbiz.de/10012936912

Spreads of bonds issued by sub-sovereign European governments

Bellot, Nicolas Jannone; Martí Selva, Maria Luisa; … - In: Journal of innovation & knowledge : JIK 2 (2017) 3, pp. 146-154

sovereign bond. …

Persistent link: https://www.econbiz.de/10011847115

Collateral Haircuts and Bond Yields in the European Government Bond Markets

Nguyen Minh - 2020

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

Persistent link: https://www.econbiz.de/10012851746

Distributional Linkages between European Sovereign Bond and Bank Asset Returns

Gálvez, Julio - 2014

We analyse the dependence between sovereign bonds' and banks' asset return distributions with a large panel of European data from 2001 to 2013. Using quantile regressions, we identify nonlinear contemporaneous and lagged dependence. As a result, shocks to crisis-hit sovereign bonds have...

Persistent link: https://www.econbiz.de/10013044188

European Bond ETFs - Tracking Errors and the Sovereign Debt Crisis

Drenovak, Mikica; Urosevic, Branko; Jelic, Ranko - 2023

This study examines the tracking performance of 31 eurozone sovereign debt exchange traded index funds (ETFs) during 2007-2010. The tracking performance is assessed by four different tracking error models. Overall, funds underperform their respective benchmarks. Active returns (net of fees) vary...

Persistent link: https://www.econbiz.de/10014355837

What factors shape the liquidity levels of euro area sovereign bonds?

Jurksas, Linas - In: Open economics 1 (2018) 1, pp. 154-166

hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …

Persistent link: https://www.econbiz.de/10011989217

A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries

Bariviera, Aurelio F. - 2015

This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven … crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market …

Persistent link: https://www.econbiz.de/10013013956