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Prices and volatilities in the corporate bond market
Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015
, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …-bond volatility relation is important even after controlling for equity volatility. The relation between yield spreads and … investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility …
Persistent link: https://www.econbiz.de/10011772268
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Industry competition, credit spreads, and levered equity returns
Corhay, Alexandre - 2017
This paper examines the relation between industry competition, credit spreads, and levered equity returns. I build a quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms operate in heterogeneous industries that differ...
Persistent link: https://www.econbiz.de/10011721599
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018
against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …
Persistent link: https://www.econbiz.de/10011899885
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Asset pricing with horizon-dependent risk aversion
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2014
of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the … term structure of risk premia if the pricing of volatility risk is downward sloping (in absolute value) in the data and if … downward-sloping term structures of returns on a given market are driven solely by exposures to volatility risk. We test these …
Persistent link: https://www.econbiz.de/10010439624
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Real term premia in consumption-based models
Melissinos, Errikos - 2024
Can consumption-based mechanisms generate positive and time-varying real term premia as we see in the data? I show that only models with time-varying risk aversion or models with high consumption risk can independently produce these patterns. The latter explanation has not been analysed before...
Persistent link: https://www.econbiz.de/10014448212
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Time-varying asset volatility and the credit spread puzzle
Du, Du; Elkamhi, Redouane; Ericsson, Jan - 2016
explain medium to long-term credit spreads by incorporating priced stochastic volatility. The model's ability to explain short …. In addition, we extend the model to study the influence of volatility risk premia on a firm's default and capital …
Persistent link: https://www.econbiz.de/10011721554
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The term structure of risk premia : new evidence from the financial crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10003971282
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Default compensator, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10009620780
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Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
Krones, Julia; Cremers, Heinz - 2012
In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...
Persistent link: https://www.econbiz.de/10009576035
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A unified model of distress risk puzzles
Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - 2019
We build a dynamic model to link two empirical patterns:\ the negative failure probability-return relation (Campbell, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We show analytically and quantitatively that (i)...
Persistent link: https://www.econbiz.de/10012065129