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Economic uncertainty : mispricing and ambiguity premium

Cai, Charlie X.; Fu, Xi; Kerestecioglu, Semih - In: European financial management : the journal of the … 29 (2023) 5, pp. 1702-1751

Persistent link: https://www.econbiz.de/10014430235

Performance persistence of government bond factor premia

Zaremba, Adam - In: Finance research letters 22 (2017), pp. 182-189

Persistent link: https://www.econbiz.de/10011808138

Downside variance premium, firm fundamentals, and expected corporate bond returns

Huang, Tao; Jiang, Liang; Li, Junye - In: Journal of banking & finance 154 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014488900

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Growth options, macroeconomic conditions, and the cross section of credit risk

Arnold, Marc; Wagner, Alexander F.; Westermann, Ramona - In: Journal of financial economics 107 (2013) 2, pp. 350-385

Persistent link: https://www.econbiz.de/10009719728

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

The Euro-Project at Risk

Hauskrecht, Andreas - 2014

disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …

Persistent link: https://www.econbiz.de/10013069650

Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns

Anginer, Deniz - 2017

The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are … more likely to occur in bad times. The paper uses risk premium computed from corporate credit spreads to measure a firm …'s exposure to systematic variation in default risk. Unlike previously used measures that proxy for a firm's physical probability …

Persistent link: https://www.econbiz.de/10012976521

Four essays on the relation between distress risk and equity returns

Mertens, Richard Lennart - 2017

Asset Pricing, Default Risk. - The central question of this thesis is whether firm distress risk explains stock returns …. This question is important because it has been suspected that distress risk might reconcile a growing evidence on patterns …

Persistent link: https://www.econbiz.de/10012799493

Default Risk, Idiosyncratic Coskewness and Equity Returns

Chabi-Yo, Fousseni - 2010

In this paper, we intend to explain an empirical finding that distressed stocks delivered anomalously low returns (Campbell et. al. (2008)). We show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on idiosyncratic coskewness betas,...

Persistent link: https://www.econbiz.de/10013146648