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International volatility risk and Chinese stock return predictability

Chen, Jian; Jiang, Fuwei; Liu, Yangshu; Tu, Jun - In: Journal of international money and finance 70 (2017), pp. 183-203

Persistent link: https://www.econbiz.de/10011752322

Geopolitical risk exposure and stock returns : evidence from China

Zhang, Yaojie; Zhang, Yuxuan; Ren, Xinrui; Jin, Meichen - In: Finance research letters 64 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014531770

Climate risk exposure and the cross-section of Chinese stock returns

Zhang, Yaojie; He, Mengxi; Liao, Cunfei; Wang, Yudong - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473512

Utilizing CDS-Spreads to Gauge Credit Risk in Explaining U.S. Stock Returns

Limong, Hansen - 2011

In this paper, I analyze the role of credit risk in explaining cross-sectional stock returns. I utilize Credit Default Swap (CDS) spreads to construct a credit risk factor-mimicking portfolio, which I label as Distressed-minus-Stable (DMS). As CDS contracts are written mainly on large firms, our...

Persistent link: https://www.econbiz.de/10013125552

Stock return expectations in the credit market

Byström, Hans N. E. - In: International review of financial analysis 56 (2018), pp. 85-92

Persistent link: https://www.econbiz.de/10012006222

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