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Risk-Adjusting the Returns to Private Debt Funds

Erel, Isil; Flanagan, Thomas; Weisbach, Michael S. - National Bureau of Economic Research - 2024

Private debt funds are the fastest growing segment of the private capital market. We evaluate their risk-adjusted returns, applying a cash-flow based method to form a replicating portfolio that mimics their risk profiles. Using both equity and debt benchmarks to measure risk, a typical private...

Persistent link: https://www.econbiz.de/10014512132

Hedge Fund Return Dependence and Liquidity Spirals

Zykaj, Blerina Bela - 2014

clustering in hedge fund left tail abnormal returns is positively related to negative liquidity shocks. These patterns have been … interpreted as evidence that hedge funds suffer from liquidity shock induced contagion. We provide novel tests that demonstrate … these patterns result from model misspecification and time-varying heteroskedasticity rather than liquidity shock induced …

Persistent link: https://www.econbiz.de/10013062092

The Credit Risk Premium and Return Predictability in High Yield Bonds

Thomas, Jason - 2012

I demonstrate that much of the time series variation in the credit spread on high yield bonds is attributable to changes in the “credit risk premium” rather than changes in expected default losses. The credit risk premium is the expected excess return investors earn from bearing default risk...

Persistent link: https://www.econbiz.de/10013107927

Macroeconomic Uncertainty and Predictability of Real Estate Returns : The Impact of Asset Liquidity

Nayar, Nandkumar; Price, S. McKay; Shen, Ke - 2023

commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …

Persistent link: https://www.econbiz.de/10014350917

Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads

Nanda, Vikram K. - 2018

explanatory power for yield spreads, controlling for liquidity, credit risk and other factors. The effect of insurer clustering on …

Persistent link: https://www.econbiz.de/10012936328

Investment commonality across insurance companies : fire sale risk and corporate yield spreads

Nanda, Vikram; Wu, Wei; Zhou, Xing - 2017

explanatory power for yield spreads, controlling for liquidity, credit risk and other factors. The effect of fire-sale risk on …

Persistent link: https://www.econbiz.de/10011710064

The Equity Premium Puzzle Solution : Incentives to Under-Report Inflation

Korsos, Laszlo - 2020

The biggest and most well-known unsolved problem in academic finance is famously referred to as the Equity Premium Puzzle. It refers to the unexplained phenomenon that for over 100 years the average return on a well-diversified portfolio of equities has far outperformed that of risk-free,...

Persistent link: https://www.econbiz.de/10012838903

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

Small Business Equity Returns : Empirical Evidence from the Business Credit Card Securitization Market

Fleckenstein, Matthias; Longstaff, Francis A. - 2022

We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders....

Persistent link: https://www.econbiz.de/10014239490

Modeling relationships among securitized property markets, stock markets, and macroeconomic variables

Yunus, Nafeesa - In: The journal of real estate research 34 (2012) 2, pp. 127-156

Persistent link: https://www.econbiz.de/10009578079

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