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Persistent link: https://www.econbiz.de/10010237306

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

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We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the corporate bond market. We find a significantly positive intertemporal relation between expected return and risk in the bond market and the time-series predictability is driven by aggregate...

Persistent link: https://www.econbiz.de/10012867896

Is there a risk-return tradeoff in the corporate bond market? : time-series and cross-sectional evidence

Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 142 (2021) 3, pp. 1017-1037

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Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

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We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also propose novel measures of systematic and...

Persistent link: https://www.econbiz.de/10012848977

Fractional return and fractional CAPM

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The cross-Section of German stock returns : new data and new evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - 2010

test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …

Persistent link: https://www.econbiz.de/10008666515

Multifrequency news and stock returns

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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation

Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291

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Bayesian estimation of asymmetric jump-diffusion processes

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