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A joint factor model for bonds, stocks, and options
Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023
Persistent link: https://www.econbiz.de/10014483091
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Corporate bond returns and volatility
Cai, Nianyun; Jiang, Xiaoquan - In: The financial review : the official publication of the … 43 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003755341
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US corporate bond returns : a study of market anomalies based on broad industry groups
Nippani, Srinivas; Arize, Augustine Chuck - In: Review of financial economics : RFE 17 (2008) 3, pp. 157-171
Persistent link: https://www.econbiz.de/10003759717
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Expected returns, yield spreads, and asset pricing tests
Campello, Murillo; Chen, Long; Zhang, Lu - In: The review of financial studies 21 (2008) 3, pp. 1297-1338
Persistent link: https://www.econbiz.de/10003742247
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Is liquidity priced in the corporate bond market? : A new approach
Fiori, Filippo S. - 2002
Persistent link: https://www.econbiz.de/10003779956
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Using yield spreads to estimate expected returns on debt and equity
Cooper, Ian (contributor); Davydenko, Sergei A. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001996452
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Credit spread modeling with regime-switching techniques
Davies, Andrew - In: The journal of fixed income 14 (2004) 3, pp. 36-48
Persistent link: https://www.econbiz.de/10002682341
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Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market
Longstaff, Francis A.; Mithal, Sanjay; Neiss, Eric - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2213-2254
Persistent link: https://www.econbiz.de/10003159306
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Euro corporate bonds risk factors
Castagnetti, Carolina (contributor);  … - 2006
This paper investigates the determinants of credit spread changes on bonds denominated in euro. The analysis is carried out using a panel data on euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit...
Persistent link: https://www.econbiz.de/10003322005
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The Fed and the question of financial stability : an empirical investigation
Grunspan, Thierry (contributor) - 2005
Persistent link: https://www.econbiz.de/10003304761