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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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An empirical analysis of segmented pricing of bond systematic risk
Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464
Persistent link: https://www.econbiz.de/10010433255
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Disaster Risks in Bond Returns
Lin, Hai - 2019
not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …
Persistent link: https://www.econbiz.de/10012860176
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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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Default risk characteristics of poll-based bond spreads : evidence from India
M, Jayadev; Jacob, Joshy - In: Journal of emerging market finance 9 (2010) 1, pp. 51-70
Persistent link: https://www.econbiz.de/10010216670
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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
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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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Prospect theory and corporate bond returns : an empirical study
Zhong, Xiaoling; Wang, Junbo - In: Journal of empirical finance 47 (2018), pp. 25-48
Persistent link: https://www.econbiz.de/10012103496
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Risk factors in Australian bond returns
Bianchi, Robert; Drew, Michael E.; Roca, Eduardo; … - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372
Persistent link: https://www.econbiz.de/10011756380