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Momentum In The European Corporate Bond Market
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Book Synopsis Momentum in the European Corporate Bond Market by : Florian Barth
Download or read book Momentum in the European Corporate Bond Market written by Florian Barth and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro-denominated investment grade and noninvestment grade bonds covering the period January 2004 to October 2016. Our empirical findings reveal that momentum is mainly concentrated among noninvestment grade bonds. Furthermore, the composition of the momentum portfolios varies over time and is related to bond characteristics. Taking this into account, we apply characteristics-based adjustments in context with performance measurement and find momentum profits to remain robust. Most importantly, bond-specific return components seem to drive momentum patterns, indicating gradual information diffusion in bond prices.
Book Synopsis Residual Equity Momentum Spillover in Global Corporate Bond Markets by : Demir Bektic
Download or read book Residual Equity Momentum Spillover in Global Corporate Bond Markets written by Demir Bektic and published by . This book was released on 2019 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present an improved equity momentum measure for corporate bonds and study the Euro denominated global investment grade corporate bond market between 2000 and 2016. I document economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely used total equity return, momentum as measured by the residual (idiosyncratic) equity return appears to further enhance risk-adjusted performance of corporate bond investors. Additional support for this conjecture is obtained from tests for various asset pricing factors and transaction costs, as exposure to these risk factors cannot explain this abnormal pattern in returns.
Book Synopsis The Handbook of European Fixed Income Securities by : Frank J. Fabozzi
Download or read book The Handbook of European Fixed Income Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2004-02-03 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: A well-rounded guide for those interested in European financial markets With the advent of the euro and formation of the European Union, financial markets on this continent are slowly beginning to gain momentum. Individuals searching for information on these markets have come up empty-until now. The Handbook of European Fixed Income Markets is the first book written on this burgeoning market. It contains extensive, in-depth coverage of every aspect of the current European fixed income markets and their derivatives. This comprehensive resource includes both a qualitative approach to products, conventions, and institutions as well as quantitative coverage of valuation and analysis of each instrument. The Handbook of European Fixed Income Markets introduces readers to developed markets such as the U.K., France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe. Government and corporate bond market instruments and institutions are also discussed. U.S.-based investors, researchers, and academics as well as students and financial professionals in other parts of the world will all turn to this book for complete and accurate information on European financial instruments and markets. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.
Book Synopsis Outliers and Momentum in the Corporate Bond Market by : Valentina Galvani
Download or read book Outliers and Momentum in the Corporate Bond Market written by Valentina Galvani and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Factor Investing in the European Corporate Bond Market by : Thomas Aeschbacher
Download or read book Factor Investing in the European Corporate Bond Market written by Thomas Aeschbacher and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis provides evidence that a multi-factor portfolio considering the factors Size, Value, Low-Risk and Momentum is able to generate superior risk-adjusted returns in the European investment-grade corporate bond market. Value and Momentum are able to outperform the benchmark prior to transaction costs. After transaction costs, only Value is able to outperform and its higher returns are not merely a compensation for bearing higher systematic risk. Size is the only factor contributing a higher risk-adjusted return than the benchmark. It adds to the multi-factor portfolio's risk-adjusted outperformance, even after accounting for transaction costs. Low-Risk exhibits a strong negative correlation of its relative returns with respect to the Value factor. This provides valuable diversification benefits which help to reduce the tracking error and the multi-factor portfolio's volatility substantially.
Book Synopsis The Microstructure of European Bond Markets by : Volker Flögel
Download or read book The Microstructure of European Bond Markets written by Volker Flögel and published by Springer Science & Business Media. This book was released on 2008-05-09 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on unique datasets for German federal securities, EMU government bonds and Euro corporate bonds Volker Flögel analyzes the distinctive features of multiple dealer markets in general and bond markets in particular. He focuses on the organizational structure of the market for German federal securities, the interaction between the interdealer and the customer-dealer market for EMU government bonds, and the cost of liquidity for Euro corporate bonds.
Book Synopsis Making Use of Unique Features of Corporate Bonds to Understand how Information is Linked to Momentum by : Lifang Li
Download or read book Making Use of Unique Features of Corporate Bonds to Understand how Information is Linked to Momentum written by Lifang Li and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This case study is based on our research article in the Review of Finance in 2021. The study explores differences in information level across the corporate bonds issued by the same firm and draws implications for the profitability of momentum investing. Taking advantage of the unique features of the corporate bond market, our results identify informed trading as the key factor in determining different momentum return patterns among bonds that attract different levels of institutional investors' trading activities.This case study reports essential aspects of our research process leading to the paper's results, which contributes to the discovery of the mechanism underlying the momentum effect and provides insights for understanding the market efficiency of the U.S. corporate bond market. Those aspects include adapting existing data cleaning and estimation methodologies to our purposes and improving the structure and reasoning of our empirical analysis to better link to our theoretical predictions. Readers should be able to learn from our successes and failures and apply the techniques and reasoning process in their research practice.
Book Synopsis Momentum in Corporate Bond Returns by : Gergana Jostova
Download or read book Momentum in Corporate Bond Returns written by Gergana Jostova and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds significant price momentum in US corporate bonds. The analysis is based on 3.2 million monthly observations from 77,150 bonds from two transaction and three dealer-quote databases over the period from 1973 to 2008. Bond momentum profits are significant in the second half of the sample period, 1991 to 2008, and amount to 64 basis points per month. Momentum strategies are only profitable among non-investment grade bonds, where they yield 190 basis points per month. Similar to recent findings in equities, profits disappear after removing the worst-rated bonds -- about 8% of all observations -- but contrary to equities, bond momentum profits derive primarily from winners. However, losers are more actively traded than winners, giving them a greater share in momentum profitability when using trade-based data. Bond momentum is equally profitable in quote- and trade-based data, hence illiquidity is unlikely to explain it. Lack of information and transparency is also an unlikely explanation since momentum profits have increased in recent years, after the introduction of the TRACE reporting system.
Book Synopsis Europe's Hidden Capital Markets by : Jean-Pierre Casey
Download or read book Europe's Hidden Capital Markets written by Jean-Pierre Casey and published by CEPS. This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis Cross-sectional Examination of the Corporate Bond Market Performance - The Rise of the Momentum and Contrarian Unidentified Factor Mimicking Corporate Bond Portfolios! by : Himanshu Verma
Download or read book Cross-sectional Examination of the Corporate Bond Market Performance - The Rise of the Momentum and Contrarian Unidentified Factor Mimicking Corporate Bond Portfolios! written by Himanshu Verma and published by . This book was released on 2020 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine momentum and reversal anomalies in corporate bond returns at the firm-level employing a novel dataset, SoKat Credit, comprising bonds of 323 of the largest and liquid companies over the period from 2002 to 2020. Our study documents significant short-term reversal in the cross-sectional of corporate bond returns concentrated at the one week interval with annualized returns on the zero investment long-short portfolio of 9.9%. We also document company-level momentum spillover effect into corporate bond returns when sorting on past equity returns, that is, our “bond-stock” strategy, which delivers annualized return of 5.0% is statistically significant and robust baring the usual suspects of caveats.
Book Synopsis Market Momentum by : Stephen Satchell
Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
Book Synopsis Systematic Investing in Credit by : Arik Ben Dor
Download or read book Systematic Investing in Credit written by Arik Ben Dor and published by John Wiley & Sons. This book was released on 2020-12-10 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for SYSTEMATIC INVESTING in CREDIT "Lev and QPS continue to shed light on the most important questions facing credit investors. This book focuses on their latest cutting-edge research into the appropriate role of credit as an asset class, the dynamics of credit benchmarks, and potential ways to benefit from equity information to construct effective credit portfolios. It is must-read material for all serious credit investors." —Richard Donick, President and Chief Risk Officer, DCI, LLC, USA "Lev Dynkin and his team continue to spoil us; this book is yet another example of intuitive, insightful, and pertinent research, which builds on the team's previous research. As such, the relationship with this team is one of the best lifetime learning experiences I have had." —Eduard van Gelderen, Chief Investment Officer, Public Sector Pension Investment Board, Canada "The rise of a systematic approach in credit is a logical extension of the market's evolution and long overdue. Barclays QPS team does a great job of presenting its latest research in a practical manner." —David Horowitz, Chief Executive Officer and Chief Investment Officer, Agilon Capital, USA "Systematization reduces human biases and wasteful reinventing of past solutions. It improves the chances of investing success. This book, by a team of experts, shows you the way. You will gain insights into the advanced methodologies of combining fundamental and market data. I recommend this book for all credit investors." —Lim Chow Kiat, Chief Executive Officer, GIC Asset Management, Singapore "For nearly two decades, QPS conducted extensive and sound research to help investors meet industry challenges. The proprietary research in this volume gives a global overview of cutting-edge developments in alpha generation for credit investors, from signal extraction and ESG considerations to portfolio implementation. The book blazes a trail for enhanced risk adjusted returns by exploring the cross-asset relation between stocks and bonds and adding relevant information for credit portfolio construction. Our core belief at Ostrum AM, is that a robust quantamental approach, yields superior investment outcomes. Indeed, this book is a valuable read for the savvy investor." —Ibrahima Kobar, CFA, Global Chief Investment Officer, Ostrum AM, France "This book offers a highly engaging account of the current work by the Barclays QPS Group. It is a fascinating mix of original ideas, rigorous analytical techniques, and fundamental insights informed by a long history of frontline work in this area. This is a must-read from the long-time leaders in the field." —Professor Leonid Kogan, Nippon Telephone and Telegraph Professor of Management and Finance, MIT "This book provides corporate bond portfolio managers with an abundance of relevant, comprehensive, data-driven research for the implementation of superior investment performance strategies." —Professor Stanley J. Kon, Editor, Journal of Fixed income "This book is a treasure trove for both pension investors and trustees seeking to improve performance through credit. It provides a wealth of empirical evidence to guide long-term allocation to credit, optimize portfolio construction and harvest returns from systematic credit factors. By extending their research to ESG ratings, the authors also provide timely insights in the expanding field of sustainable finance." —Eloy Lindeijer, former Chief of Investment Management, PGGM, Netherlands "Over more than a decade, Lev Dynkin and his QPS team has provided me and APG with numerous innovative insights in credit markets. Their work gave us valuable quantitative substantiation of some of our investment beliefs. This book covers new and under-researched areas of our markets, like ESG and factor investing, next to the rigorous and practical work akin to the earlier work of the group. I'd say read this book—and learn from one of the best." —Herman Slooijer, Managing Director, Head of Fixed Income, APG Asset Management, Netherlands
Book Synopsis Bond Return, Spread Change, and the Momentum Effect in Corporate Bond and Stock Markets by : Ming Fang
Download or read book Bond Return, Spread Change, and the Momentum Effect in Corporate Bond and Stock Markets written by Ming Fang and published by . This book was released on 2018 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new information of firm fundamentals. Past spread changes have robust predictive power for future spread changes even after controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the momentum effect across bond and stock markets. Equity returns, bond returns and bond spread changes are contemporaneously correlated. Equity winners (losers) are also bond winners (losers) with improved (deteriorated) credit quality and vice versa. Equity return momentum exhibits spillover to both bond returns and spread changes, although the spillover to bond returns can only be observed after controlling for default risk. Firms earning extremely low equity returns over the past six months increase bond spreads significantly in the next six months. After controlling for the yield-to-maturity, extreme equity winners (losers) earn high (low) bond returns. Although past bond returns have no predictive power for future stock returns, there is a significant momentum spillover from spread changes to stock returns. Past spread changes can explain half of momentum profit in future stock returns. This result indicates that the persistence in the default risk change may play an important role in understanding the source of momentum profits in equity returns.
Author :International Monetary Fund. Research Dept. Publisher :International Monetary Fund ISBN 13 :1498398588 Total Pages :230 pages Book Rating :4.4/5 (983 download)
Book Synopsis World Economic Outlook, April 2016 by : International Monetary Fund. Research Dept.
Download or read book World Economic Outlook, April 2016 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2016-04-12 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Major macroeconomic realignments are affecting prospects differentially across the world’s countries and regions. The April 2016 WEO examines the causes and implications of these realignments—including the slowdown and rebalancing in China, a further decline in commodity prices, a related slowdown in investment and trade, and declining capital flows to emerging market and developing economies—which are generating substantial uncertainty and affecting the outlook for the global economy. Additionally, analytical chapters examine the slowdown in capital flows to emerging market economies since their 2010 peak—its main characteristics, how it compares with past slowdowns, the factors that are driving it, and whether exchange rate flexibility has changed the dynamics of the capital inflow cycle—and assess whether product and labor market reforms can improve the economic outlook in advanced economies, looking at the recent evolution and scope for further reform, the channels through which reforms affect economic activity under strong versus weak economic conditions, reforms’ short- to medium-term macroeconomic effects, and sequencing of reforms and coordination with other policies to maximize their potential quantitative economic benefits. A special feature analyzes in depth the energy transition in an era of low fossil fuel prices.
Book Synopsis Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk by : Gary Antonacci
Download or read book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
