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We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and Huang (2012), we apply a decomposition methodology to...
Persistent link: https://www.econbiz.de/10011772268
In contrast to earlier decades, since the early 2000s, the average idiosyncratic volatility of stocks has fallen back to its pre-1990s level. Here, we examine whether decreasing volatility still helps to explain the cross-sectional variation of bond returns. Using a panel data of corporate bond...
Persistent link: https://www.econbiz.de/10012921040
We investigate the impact of short selling activity on trading activity and price volatility in the U.S corporate bond market. Consistent with prior literature, we find that investors use short selling as a platform to express their difference of opinions. In addition, we find that the positive...
Persistent link: https://www.econbiz.de/10012912758
Persistent link: https://www.econbiz.de/10012815421
Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility changes carry information about fundamental news, our...
Persistent link: https://www.econbiz.de/10012179498
This paper estimates dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and it provides a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. The paper...
Persistent link: https://www.econbiz.de/10013094301
Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and future stock returns and report an anomalous negative dispersion-return relation. This paper examines how time-series forecast dispersion is distinct in the relation to stock...
Persistent link: https://www.econbiz.de/10012972903
This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...
Persistent link: https://www.econbiz.de/10012955959
In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the time-series variation in post-1990 aggregate stock market returns. This predictability is particularly...
Persistent link: https://www.econbiz.de/10013150662
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This...
Persistent link: https://www.econbiz.de/10011897782