Narrow search
Showing 1 - 10 of 5,052
Cover Image
The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
Cover Image
Funding Liquidity Risk and the Cross-Section of MBS Returns
Kitsul, Yuriy - 2016
This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …
Persistent link: https://www.econbiz.de/10013210417
Cover Image
The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371
Cover Image
How Does a Firm's Default Risk Affect its Expected Equity Return?
Aretz, Kevin - 2011
In an equilibrium Black and Scholes (1973) economy, a firm's default risk and its expected equity return are non-monotonically related. This may explain the surprising relation found between these two variables in recent empirical research. Although changes in default risk induced by expected...
Persistent link: https://www.econbiz.de/10013133826
Cover Image
Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
Cover Image
Momentum and Aggregate Default Risk
Mahajan, Arvind - 2012
In this paper, we explain momentum profits using innovations in aggregate economy-wide default risk. First, we show that momentum returns are positive only during high default shocks and nonexistent otherwise. Second, we present evidence suggesting that a conditional default shock factor is...
Persistent link: https://www.econbiz.de/10013106843
Cover Image
Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction
Han, Song - 2013
transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …
Persistent link: https://www.econbiz.de/10013093704
Cover Image
Credit Contagion from Counterparty Risk
Jorion, Philippe - 2014
Standard credit risk models cannot explain the observed clustering of default, sometimes described as "credit contagion." This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We examine the wealth effects of bankruptcy announcements on creditors...
Persistent link: https://www.econbiz.de/10013071217
Cover Image
Probability Weighting and Default Risk : A Possible Explanation for Distressed Stock Puzzles
Yamazaki, Akira - 2019
This paper suggests incorporating investor probability weighting and the default risk of individual firms into a consumption-based asset pricing model. The extended model provides a unified solution for several anomalous patterns observed on financial markets. The analysis addresses not only...
Persistent link: https://www.econbiz.de/10012900110
Cover Image
A 'Wreckers Theory' of Financial Distress
von Kalckreuth, Ulf - 2016
In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...
Persistent link: https://www.econbiz.de/10012991210