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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

Using utility functions to model risky bonds

Goard, Joanna - In: Applied mathematical finance 14 (2007) 3, pp. 261-289

Persistent link: https://www.econbiz.de/10003543033

An empirical analysis of segmented pricing of bond systematic risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464

Persistent link: https://www.econbiz.de/10010433255

A note on risky bond valuation

Hui, Cho H.; Lo, C. F. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 575-580

Persistent link: https://www.econbiz.de/10001524486

Bond rating changes and beta risk : an analysis of the relationship through the use of influence statistics

Clark, Corolyn E. - In: The journal of business and economic studies 2 (1993) 1, pp. 23-46

Persistent link: https://www.econbiz.de/10001217889

Default spreads in the fixed and in the floating interest rate markets : a contingent claims approach

Cooper, Ian - In: Advances in futures and options research : a research annual 3 (1988), pp. 269-289

Persistent link: https://www.econbiz.de/10001081726

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 … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … Chinese bond market, downside risk proxy semi-variance can better explain yield spreads and predict portfolio excess returns …

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

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

Time-varying pricing of risk in sovereign bond futures returns

Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10013455827

Priced risk in corporate bonds

Dickerson, Alexander; Mueller, Philippe; Robotti, Cesare - In: Journal of financial economics 150 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014462590

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