Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the assumption that style exposures are time-invariant. We apply results on break tests developed in Bai and Perron (1998, 2003) to test for style breaks. We find strong...

Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the underlying assumption that the style exposures do not vary over time. In general, little attention was devoted to examining whether this hypothesis is acceptable,...

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

It is commonly agreed that the term spread and stock returns are useful in predicting recessions.We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators.Both risk-return analysis and the theory of investment under uncertainty...