risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

corporate bonds with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing … factors. We show that market risk is the predominant risk factor for both corporate bonds and CLOs. CLO investors, however …, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

’s investments. As a result, aggregated risk statements provide market information about new and evolving risks over and above the … insights to be gleaned from any single risk disclosure. But disclosures’ utility comes not from their superior ability to …’ perception of market risks in the aggregate. We evaluate our thesis through an analysis of all U.S. mutual funds’ narrative risk …

strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk …-shifting hypothesis. Consistent with the risk-shifting hypothesis, we find that distressed firms tend to overinvest, destroy value, and … cases where CEOs receive above-average equity-based compensation. As default risk rises, credit spreads rise, equity betas …

.g., India, China, Malaysia, South Africa, United States. In this paper, we characterize the compensating risk premium for such …, with statistical risk accounting. We find that differences in internal rate of return (IRR) and interest rate elasticity of … bond prices, for minority (MB) and nonminority (NMB) peer banks, induce an anomalous concave risk return pricing structure …