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corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …
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financial statements, equity and bond characteristics. We use a predictive regression framework and the adaptive Lasso to choose … the most relevant characteristics. Applying the adaptive Lasso, we find a ten-factor model, with value, bond reversal, and …, we evaluate the ability of U.S. corporate bond fund managers to generate alpha. We apply the False Discovery Rate (FDR …
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This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and … equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on … weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active …
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dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have …
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I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can …). Moreover, average abnormal returns are significantly related to the improvement in bond liquidity and probability of informed …
Persistent link: https://www.econbiz.de/10013100475
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