Future Economic Information Embedded in High Yield SpreadsThe financial accelerator mechanism, also called credit channel theory (Bernanke and Gertler [1995] and Bernanke and Gertler, and Gilchrist [1996]), assumes external financing is more costly than internal financing in the absence of full...

This paper investigates the change of the credit spread volatility from 1993 to 2001. We find that credit spreads between junk grade corporate bonds and Treasury bond are significantly more volatile in the second half of this period when credit related securities become popular. However credit...

We study the strategy of shorting a pair of leveraged ETF and inverse leveraged ETF of the same index. The profitability of this strategy does not depend on the direction of the underlying benchmark. We derive an approximation formula to show that the expected return is high when the weighted...