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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

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Short interest, stock returns and credit ratings

Guo, Xu; Wu, Chunchi - In: Journal of banking & finance 108 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012224662

Forecasting corporate bond returns with a large set of predictors : an iterated combination approach

Lin, Hai; Wu, Chunchi; Zhou, Guofu - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4218-4238

Persistent link: https://www.econbiz.de/10011921514

An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets

He, Yan; Wu, Chunchi; Chen, Yea-mow - In: International review of economics & finance : IREF 12 (2003) 2, pp. 171-186

Persistent link: https://www.econbiz.de/10001778664

Economic sources of asymmetric cross-correlation among stock returns

Yu, Chih-hsien; Wu, Chunchi - In: International review of economics & finance : IREF 10 (2001) 1, pp. 19-40

Persistent link: https://www.econbiz.de/10001569164

The intraday relation between return volatility, transactions, and volume

Xu, Xiaoqing Eleanor; Wu, Chunchi - In: International review of economics & finance : IREF 8 (1999) 4, pp. 375-397

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Asymmetric information transmission between a transition economy and the US market : evidence from the Warsaw Stock Exchange

Tse, Yiuman; Wu, Chunchi; Young, Allan - In: Global finance journal 14 (2003) 3, pp. 319-332

Persistent link: https://www.econbiz.de/10001977661

Small trades and volatility increases after stock splits

Chen, Chun-nan; Wu, Chunchi - In: International review of economics & finance : IREF 18 (2009) 4, pp. 592-610

Persistent link: https://www.econbiz.de/10003902672

Are corporate bond market returns predictable?

Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of banking & finance 36 (2012) 8, pp. 2216-2232

Persistent link: https://www.econbiz.de/10009655644