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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

conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads … and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of … Chinese bond market, downside risk proxy semi-variance can better explain yield spreads and predict portfolio excess returns …

Persistent link: https://www.econbiz.de/10013206142

Forecasting bond risk premia with unspanned macroeconomic information

Liu, Rui - In: The quarterly journal of finance 9 (2019) 1, pp. 1-62

Persistent link: https://www.econbiz.de/10012029073

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation...

Persistent link: https://www.econbiz.de/10010441139

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Macro-expectations, aggregate uncertainty, and expected term premia

Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - In: European economic review : EER 58 (2013), pp. 58-80

Persistent link: https://www.econbiz.de/10009713167

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Are the Fama-French factors really compensation for distress risk?

Groot, Wilma de; Huij, Joop - In: Journal of international money and finance 86 (2018), pp. 50-69

Persistent link: https://www.econbiz.de/10012000470

Short-run bond risk premia

Mueller, Philippe; Vedolin, Andrea; Zhou, Hao - In: The quarterly journal of finance 9 (2019) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10012166887

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