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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...

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

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Persistent link: https://www.econbiz.de/10012421289

A common pattern across asset pricing anomalies

Božović, Miloš - In: Finance research letters 48 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013464296

Cross-section without factors : a string model for expected returns

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718

Persistent link: https://www.econbiz.de/10015050788

Correlation risk, strings and asset prices

Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019

Persistent link: https://www.econbiz.de/10012181112

Investors’ valuation for asset liquidity and the corporate-treasury yield spread

Niestroj, Benjamin - In: International journal of economics and finance 6 (2014) 10, pp. 1-16

Persistent link: https://www.econbiz.de/10010421663

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Dissecting the bond profitability premium

Campbell, T. Colin; Chichernea, Doina C.; Petkevich, Alex - In: Journal of financial markets 27 (2016), pp. 102-131

Persistent link: https://www.econbiz.de/10011722223

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

Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001639703

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