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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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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 …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …
Persistent link: https://www.econbiz.de/10013206142
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Leverage, default risk, and the cross-section of equity and firm returns
Hood, Frederick M. - In: Modern economy 7 (2016) 14, pp. 1610-1639
Persistent link: https://www.econbiz.de/10011647971
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Is there a distress risk anomaly? : pricing of systematic default risk in the cross-section of equity returns
Anginer, Deniz; Yıldızhan, Çelim - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 633-660
Persistent link: https://www.econbiz.de/10011991281
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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
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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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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - In: Journal of international financial markets, … 72 (2021), pp. 1-32
Persistent link: https://www.econbiz.de/10012801548
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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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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