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A common risk factor and the correlation between equity anda corporate bond returns
Demirovic, Amer; Kabiri, Ali; Tuckett, David; Nyman, Rickard - In: The journal of asset management 21 (2020) 2, pp. 119-134
Persistent link: https://www.econbiz.de/10012292757
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Momentum lost and found in corporate bond returns
Ho, Hwai-chung; Wang, Hsiao-Chuan - In: Journal of financial markets 38 (2018), pp. 60-82
Persistent link: https://www.econbiz.de/10012001139
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Momentum spillover from stocks to corporate bonds
Haesen, Daniel; Houweling, Patrick; Zundert, Jeroen van - In: Journal of banking & finance 79 (2017), pp. 28-41
Persistent link: https://www.econbiz.de/10011815134
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US stocks and the US dollar
Azar, Samih Antoine - In: International journal of financial research 4 (2013) 4, pp. 91-106
Persistent link: https://www.econbiz.de/10010206630
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Momentum Spillover from Stocks to Corporate Bonds
Haesen, Daniel - 2017
We investigate and improve momentum spillover from stocks to corporate bonds, i.e. the phenomenon that past winners in the equity market are future winners in the corporate bond market. We find that a momentum spillover strategy exhibits strong structural and time-varying default risk exposures...
Persistent link: https://www.econbiz.de/10012975053
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A joint factor model for bonds, stocks, and options
Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023
Persistent link: https://www.econbiz.de/10014483091
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Common risk factors in the cross-section of corporate bond returns
Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 131 (2019) 3, pp. 619-642
Persistent link: https://www.econbiz.de/10012133022
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Investigating the factors affecting the performance of offshore high-yield bond funds
Ni, Yensen; Huang, Paoyu; Ku, Yaochia; Chen, Yuhsin - In: International journal of financial services management … 9 (2018) 3, pp. 242-254
Persistent link: https://www.econbiz.de/10011979969
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Investors’ valuation for asset liquidity and the corporate-treasury yield spread
Niestroj, Benjamin - In: International journal of economics and finance 6 (2014) 10, pp. 1-16
Persistent link: https://www.econbiz.de/10010421663
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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