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The Cross-Section and Time Series of Corporate Bond Returns

Westerkamp, Arne - 2010

What are the cross-sectional and time-series characteristics of corporate bond returns? Do corporate bond risk premia vary over time and are these time-variations predictable? And if yes, is it a sign of market inefficiency? Recent empirical studies show a strong mean reversion at the monthly...

Persistent link: https://www.econbiz.de/10013139308

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

Measuring financial interdependence in asset markets with an application to eurozone equities

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Journal of banking & finance 122 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012659252

Pump up the volume: income risk and counter-cyclical asset trading

Sarolli, Gian Domenico - In: Eastern economic journal 42 (2016) 4, pp. 594-610

Persistent link: https://www.econbiz.de/10012238615

GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets

Corelli, Angelo - In: International journal of bonds and derivatives 4 (2018) 1, pp. 52-62

Persistent link: https://www.econbiz.de/10012253412

Efficiency of capital markets : a new perspective on the value premium and day-of-the-week effect

Procasky, William J.; Raja, Zubair Ali; Oyotode, Renée - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 114-140

Persistent link: https://www.econbiz.de/10012253640

Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach

Sim, Nicholas - In: International review of financial analysis 48 (2016), pp. 31-45

Persistent link: https://www.econbiz.de/10011624367

Labor income risk and households' risky asset holdings

Becker, Gideon; Dimpfl, Thomas - In: Studies in economics and finance 33 (2016) 2, pp. 262-280

Persistent link: https://www.econbiz.de/10011719146

Momentum crashes

Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247

Persistent link: https://www.econbiz.de/10011590901

Stock investment and excess returns : a critical review in the light of the efficient market hypothesis

Qianwei, Ying; Yousaf, Tahir; Ul Ain, Qurat; Akhtar, Yasmeen - In: Journal of risk and financial management : JRFM 12 (2019) 2/97, pp. 1-22

diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the …

Persistent link: https://www.econbiz.de/10012022012

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