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Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Persistent link: https://www.econbiz.de/10012259354

Risks and risk premia in the US Treasury market

Li, Junye; Sarno, Lucio; Zinna, Gabriele - In: Journal of economic dynamics & control 158 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014532189

Risks and risk premia in the US treasury market

Li, Junye; Sarno, Lucio; Zinna, Gabriele - 2023

Persistent link: https://www.econbiz.de/10014422634

Pricing climate-related risks in the bond market

Agliardi, Elettra; Agliardi, Rossella - In: Journal of financial stability 54 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012794081

Collateral affects return risk : evidence from the euro bond market

Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10012225036

Credit default swaps, fire-sale risk, and the liquidity provision in the bond market

Massa, Massimo; Zhang, Lei - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 4, pp. 1963-1996

Persistent link: https://www.econbiz.de/10015055439

Country risk at investing in capital markets : the case of Italy

Chovancová, Božena; Árendáš, Peter; Slobodník, Patrik - In: Problems and perspectives in management : PPM ; … 17 (2019) 2, pp. 440-448

Persistent link: https://www.econbiz.de/10012122585

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates … changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …

Persistent link: https://www.econbiz.de/10012422545

Clustering corporate bonds : a short note on iBoxx

Pfaff, Bernhard - 2003

Persistent link: https://www.econbiz.de/10001762958

Does Bond Liquidity Affect Equity Returns?

Anderson, Mike - 2012

I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can positively impact stock returns by decreasing the cost of capital and improving profitability. To investigate this effect, I construct a natural experiment around the...

Persistent link: https://www.econbiz.de/10013100475