Recent work has suggested that strategic underperformance of debt-service obligations by equity holders can resolve the gap between observed yield spreads and those generated by Merton (1974)-style models.(...)

We examine the question of the determinants of corporate bond credit spreads using both weekly and monthly option-adjusted spreads for nine corporate bond indexes from Merrill Lynch from January 1997 to July 2002. (...)

Diversification benefits of three "hot" asset classes-Commodity, Real Estate Investment Trusts (REITs), and Treasury Inflation-Protected Securities (TIPS)- are well-studied on an individual basis and in a static setting. Using data from 1970 to 2010, this paper documents both that the three...

Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of...

Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published...

Recently many mutual funds have created hedge fund-like products for marketing to retail investors. This study empirically examines the value added for investors during the 2007 financial crisis from hedge fund-like mutual funds, including 130/30, market neutral, and long/short equity funds. We...

What drives short-term credit spreads: credit risk, liquidity risk, or both? Despite a large empirical literature on corporate yield spreads, very few studies have examined this important question. Using a novel data set of secondary market transaction prices of Chinese commercial papers, we...

We investigate the impact of scheduled macroeconomic news announcements on the corporate bond market using daily credit spreads from January 1997 through June 2003. We find that macroeconomic announcements mainly affect high-yield bonds. In particular, the announcement surprises in leading...

Recent work in corporate finance has suggested that strategic debt-service by equityholders works to lower debt values and raise yield spreads substantially. We show that this is not quite correct. With optimal cash management, defaults occasioned by deliberate underperformance (strategic...

In this paper, we propose an alternative approach for pricing and hedging American barrier options. Specifically, we obtain an analytic representation for the value and hedge parameters of barrier options, using the decomposition technique of separating the European option value from the early...