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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
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Multivariate Analysis of Financial and Market-Based Variables for Bond Rating Prediction
Novotná, Martina - 2016
agencies. The paper presents an estimation of corporate bond rating models based on both financial and market-based indicators … bond rating in oil and gas industry. In addition to common financial variables, the following market-based indicators such … variables used in this study, the enterprise value is the most significant variable for bond rating prediction. The practical …
Persistent link: https://www.econbiz.de/10013000339
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Forecasting default rates on high-yield bonds
Jónsson, Jón G. - In: The journal of fixed income 6 (1996) 1, pp. 69-77
Persistent link: https://www.econbiz.de/10001205424
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Forecasting US bond yields at weekly frequency
Lucchetti, Riccardo (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003322404
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Inflation expectations, real interest rate and risk premiumsevidence from bond market and consumer survey data
Fu, Dong (contributor) - 2007
Persistent link: https://www.econbiz.de/10003813101
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Forecasting financial markets and understanding the role of monetary policy
Willner, Marco - 2010
Persistent link: https://www.econbiz.de/10008990760
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Essays on the dynamic interaction of expectations, monetary policy and the term structure of interest rates
Chun, Albert Lee - 2007
Persistent link: https://www.econbiz.de/10009693124
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Forecasting US bond returns : a practitioner's perspective
Mylnikov, George - In: The journal of portfolio management : a publication of … 40 (2014) 3, pp. 124-136
Persistent link: https://www.econbiz.de/10010365489
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Forecasting US bond returns
Ilmanen, Antti - In: The journal of fixed income 7 (1997) 1, pp. 22-37
Persistent link: https://www.econbiz.de/10001223525
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Market timing under limited information : an empirical investigation in US Treasury market
Tong, Guoshi - In: Annals of economics and finance 18 (2017) 2, pp. 291-322
Persistent link: https://www.econbiz.de/10012109990