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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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Commonality in liquidity in the US corporate bond market
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016
Persistent link: https://www.econbiz.de/10011733594
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Systematic risk and yield premiums in the bond market
Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011298058
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
Persistent link: https://www.econbiz.de/10001646775
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Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model
Gauthier, Geneviève - 2012
spreads as it modifies both the level and shape of the curves. When a bond portfolio is considered, the presence of dependence …
Persistent link: https://www.econbiz.de/10013101883
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Downside risk and defaultable bond returns
Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110
This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …
Persistent link: https://www.econbiz.de/10013206142
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Pricing climate-related risks in the bond market
Agliardi, Elettra; Agliardi, Rossella - In: Journal of financial stability 54 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012794081
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A better criterion for forced selling in bond markets : credit ratings versus credit spreads
Choi, Jae Yong; Yi, Junesuh; Yoon, Sun-Joong - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485057
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Collateral affects return risk : evidence from the euro bond market
Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128
Persistent link: https://www.econbiz.de/10012225036