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High-yield bonds : analysis and risk assessment
Altman, Edward I. (contributor);  … - 1990
Persistent link: https://www.econbiz.de/10000330114
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The levered equity risk premium and credit spreads : a unified framework
Bhamra, Harjoat Singh; Kuehn, Lars-Alexander; … - In: The review of financial studies 23 (2010) 2, pp. 645-703
Persistent link: https://www.econbiz.de/10003941680
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Investors’ valuation for asset liquidity and the corporate-treasury yield spread
Niestroj, Benjamin - In: International journal of economics and finance 6 (2014) 10, pp. 1-16
Persistent link: https://www.econbiz.de/10010421663
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Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance
Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001758056
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Pricing risky debt : an empirical comparison of the Longstaff and Schwartz and Merton models
Wei, David Guoming - In: The journal of fixed income 7 (1997) 2, pp. 8-28
Persistent link: https://www.econbiz.de/10001229964
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion - 2012
.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …
Persistent link: https://www.econbiz.de/10013115228
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion - 2012
.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …
Persistent link: https://www.econbiz.de/10013106117
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A One-Factor Model of Corporate Bond Premia
Elkamhi, Redouane - 2020
We test whether long-run consumption risk can explain the cross-section of corporate bond risk premiums. We find that a … one-factor model with long-run consumption growth explains the risk premiums on bond portfolios sorted on credit spreads …
Persistent link: https://www.econbiz.de/10012826176
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The Levered Equity Risk Premium and Credit Spreads : A Unified Framework
Bhamra, Harjoat Singh - 2010
We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...
Persistent link: https://www.econbiz.de/10013148422
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Cash flows risk, capital structure, and corporate bond yields
Palazzo, Berardino - In: Annals of finance 15 (2019) 3, pp. 401-420
Persistent link: https://www.econbiz.de/10012240143