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This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10013087113
We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction data. In contrast to previous work, we find that a significant part of the time variation in bond risk premia can be explained by equity-implied bond risk premium estimates. We...
Persistent link: https://www.econbiz.de/10014238571
Using a large panel of corporate bond transaction data, we study the linkages between equity and corporate bond risk premia. We find that a significant part of the time variation in bond default risk premia can be explained by equity implied bond risk premium estimates. We compute these...
Persistent link: https://www.econbiz.de/10014238577
Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...
Persistent link: https://www.econbiz.de/10015181854
The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...
Persistent link: https://www.econbiz.de/10010251196
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10009707628
We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and Huang (2012), we apply a decomposition methodology to...
Persistent link: https://www.econbiz.de/10011772268
We measure dislocations in the market for corporate bonds in real time with the Corporate Bond Market Distress Index (CMDI), allowing for the aggregation of a broad set of measures of market functioning from primary and secondary bond markets into a single measure. The index quantifies...
Persistent link: https://www.econbiz.de/10012423810
This article examines the impact of illiquidity levels on corporate bond pricing with a novel international dataset, including both advanced and emerging economies. Results show that less liquid corporate bonds which possess wider bid-ask spreads display higher expected returns and credit...
Persistent link: https://www.econbiz.de/10013404280
Bonds issued in high and low interest-rate environments often list at different prices despite very similar characteristics. From a risk-neutral investor's perspective, higher current prices imply higher losses in case of default, which must be compensated, if markets are efficient. We call this...
Persistent link: https://www.econbiz.de/10014512365