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Liquidity Risk of Corporate Bond Returns : A Conditional Approach
Acharya, Viral V. - 2012
We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the … period 1973-2007 in a regime switching model. In one regime, liquidity shocks have mostly insignificant effect on bond prices … default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …
Persistent link: https://www.econbiz.de/10013116102
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Default Risk in Corporate Yield Spreads
Dionne, Georges - 2010
An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...
Persistent link: https://www.econbiz.de/10012717692
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Analyzing wealth effects for bondholders : new insight on major corporate events from the debtholders' perspective
Maul, Daniel - 2016 - 1 Edition
Persistent link: https://www.econbiz.de/10011437233
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Predicting Corporate Bankruptcy Using the Framework of Leland-Toft : Evidence From U.S
Charalambous, Christakis - 2020
In this paper, we evaluate an alternative approach for bankruptcy prediction that measures the financial healthiness of firms that have coupon-paying debts. The approach is based on the framework of Leland and Toft (1996), which is an extension of a widely-used model; the Black-Scholes-Merton...
Persistent link: https://www.econbiz.de/10012850420
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Company cost of capital and leverage : a simplified textbook relationship revisited
Haag, Valentin Georg; Koziol, Christian - In: Schmalenbach journal of business research : SBUR 75 (2023) 1, pp. 37-69
In this paper, we revisit a frequently employed simplification within the WACC approach that company cost of capital kV is supposed to be invariant to the debt ratio and therefore equal to the unlevered cost kU . Even though we know from Miles and Ezzell (1980) that kV formally differs from kU ,...
Persistent link: https://www.econbiz.de/10014325747
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Systemic default and return predictability in the stock and bond markets
Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016
realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …
Persistent link: https://www.econbiz.de/10011810905
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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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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...
Persistent link: https://www.econbiz.de/10014497430
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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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Corporate yields : effect of credit ratings and sovereign yields
Hale, Galina; Bevilaqua, Julia; Tallman, Eric - 2020
Persistent link: https://www.econbiz.de/10012202073