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factors along with their size and value decompositions on U.S. bond and stock returns for a variety of horizons ranging from … information for future bond and stock market returns than the typically employed financial variables. Combination of forecasts of …
Persistent link: https://www.econbiz.de/10013058010
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads … a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …
Persistent link: https://www.econbiz.de/10014239698
This paper analyses linkages between green, conventional (corporate and sovereign) bond markets and geopolitical risk … conventional bond markets. Green bond markets are significantly affected by sovereign and corporate bonds in both regimes, with …
Persistent link: https://www.econbiz.de/10014369613
I decompose inflation risk into (i) a component that is correlated with factors that determine investor's preferences and investment opportunities and real returns on real assets with risky cash flows (stocks, corporate bonds, real estate, commodities, etc.), and (ii) a residual inflation risk...
Persistent link: https://www.econbiz.de/10009355443
We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and trading concentrates on assets of intermediate maturity....
Persistent link: https://www.econbiz.de/10009767309
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...
Persistent link: https://www.econbiz.de/10010248497
is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …
Persistent link: https://www.econbiz.de/10009777926
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …
Persistent link: https://www.econbiz.de/10010403525
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …
Persistent link: https://www.econbiz.de/10010459209