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Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

Persistent link: https://www.econbiz.de/10013245422

Modeling Credit Spreads Under Multifactor Stochastic Volatility

Marabel Romo, Jacinto - 2014

The empirical tests of traditional structural models of credit risk tend to indicate that such models have been unsuccessful in the modeling of credit spreads. To address these negative findings some authors introduce single-factor stochastic volatility specifications and/or jumps.In the yield...

Persistent link: https://www.econbiz.de/10013063536

Dissecting Firm-Level News : A New Measure to Capture the Time-Varying Risk of the Company

Giannone, Danilo A - 2021

drive the time variation in the CAPM market beta. Given the effect of the Market Similarity in the R-squared of the market …

Persistent link: https://www.econbiz.de/10013313393

De and re-levering betas with risky debt

Krause, Marko Volker - In: Business research 12 (2019) 2, pp. 703-720

De- and re-levering betas is important to obtain discount rates for assets that are not publicly traded. A de- and re-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying assumptions. In this paper, I concretize...

Persistent link: https://www.econbiz.de/10012256377

Industry competition, credit spreads, and levered equity returns

Corhay, Alexandre - 2017

This paper examines the relation between industry competition, credit spreads, and levered equity returns. I build a quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms operate in heterogeneous industries that differ...

Persistent link: https://www.econbiz.de/10011721599

A look at the actual cost of capital of US firms

Moore, David J. - In: Cogent economics & finance 4 (2016) 1, pp. 1-15

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics … to address CAPM criticisms and provide new perspective on WACC estimates. The firm-based measure focuses on firm …-based WACC measures, along with the traditional CAPM-based WACC measure, to a broad sector-based cross section from 1972 to 2015 …

Persistent link: https://www.econbiz.de/10011597398

A unified model of distress risk puzzles

Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - 2019

We build a dynamic model to link two empirical patterns:\ the negative failure probability-return relation (Campbell, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We show analytically and quantitatively that (i)...

Persistent link: https://www.econbiz.de/10012065129

Aggregation, capital heterogeneity, and the investment CAPM

Gonçalves, Andrei S.; Xue, Chen; Zhang, Lu - 2019

CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …

Persistent link: https://www.econbiz.de/10011968853

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...

Persistent link: https://www.econbiz.de/10011860248

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295