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Common Equity Factors In Corporate Bond Markets
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Book Synopsis Common Equity Factors in Corporate Bond Markets by : Demir Bektic
Download or read book Common Equity Factors in Corporate Bond Markets written by Demir Bektic and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Size, value, momentum and beta factors have been extensively studied for equity markets, but their impact on corporate bond markets is much less explored. Since structural models based on contingent claims link credit and equity securities, we study if these factors extend their success in equity markets to U.S. credit markets. While size, value and momentum are economically and statistically significant in the U.S. high yield space we find that only size and momentum have explanatory power for the U.S. investment grade market. Finally, we combine size, value, momentum and beta to construct equal-weighted, investable, long-only, multi-factor portfolios and demonstrate that these portfolios outperform traditional fixed-income benchmarks on a risk-adjusted basis.
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 Investing in Corporate Bonds and Credit Risk by : F. Hagenstein
Download or read book Investing in Corporate Bonds and Credit Risk written by F. Hagenstein and published by Springer. This book was released on 2004-10-01 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
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.
Book Synopsis Corporate Bonds by : Richard C. Wilson
Download or read book Corporate Bonds written by Richard C. Wilson and published by John Wiley & Sons. This book was released on 1995-02-15 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate Bonds: Structures & Analysis covers every aspect of corporate bonds, including bond structures, credit analysis, and investment strategies. This book discusses state-of-the-art technology for valuing corporate bonds, as well as innovative new products such as step-up notes and range notes. Complete with contributions from today's top financial experts, Corporate Bonds is the definitive reference for this vital market.
Book Synopsis Factor Investing in the Corporate Bond Market by : Patrick Houweling
Download or read book Factor Investing in the Corporate Bond Market written by Patrick Houweling and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We offer empirical evidence that size, low-risk, value, and momentum factor portfolios generate economically meaningful and statistically significant alphas in the corporate bond market. Because the correlations between the single-factor portfolios are low, a combined multi-factor portfolio benefits from diversification among the factors: It has a lower tracking error and a higher information ratio than the individual factors. Our results are robust to transaction costs, alternative factor definitions, alternative portfolio construction settings, and constructing factor portfolios on a subsample of liquid bonds. Finally, allocating to corporate bond factors provides added value beyond allocating to equity factors in a multi-asset context.
Book Synopsis Factor Investing by : Emmanuel Jurczenko
Download or read book Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2017-10-17 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners
Book Synopsis Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation by : Tarun Chordia
Download or read book Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation written by Tarun Chordia and published by . This book was released on 2017 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization negatively predict corporate bond returns, but other predictors, like accruals and earnings surprises, do not. Since smaller, unprofitable firms should be more risky, and firms with high asset growth (or high real investment) should have lower required returns, the evidence indicates that corporate bond returns accord with the risk-reward paradigm. Stock markets lead bond markets, consistent with equities aggregating diverse information and transmitting it to bonds. Overall, we find that accounting for transaction costs, bonds are efficiently priced.
Download or read book Asset Management written by Andrew Ang and published by Oxford University Press, USA. This book was released on 2014 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.
Book Synopsis Common Risk Factors in the Cross-Section of Corporate Bond Returns by : Jennie Bai
Download or read book Common Risk Factors in the Cross-Section of Corporate Bond Returns written by Jennie Bai and published by . This book was released on 2018 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds -- downside risk, credit risk, and liquidity risk -- and find that these novel bond factors have economically and statistically significant risk premia that cannot be explained by long-established stock and bond market factors. We show that the newly proposed risk factors outperform all other models considered in the literature in explaining the returns of the industry- and size/maturity-sorted portfolios of corporate bonds.
Download or read book 投资分析与组合管理 written by Frank K. Reilly and published by 中信出版社. This book was released on 2002 with total page 1284 pages. Available in PDF, EPUB and Kindle. Book excerpt: 本书向您介绍了投资分析与组合管理。
Book Synopsis Explanatory and Predictive Analysis of Corporate Bond Indices Returns by : Antonios A. Sangvinatsos
Download or read book Explanatory and Predictive Analysis of Corporate Bond Indices Returns written by Antonios A. Sangvinatsos and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the behavior of corporate bond indices. We find that a 2-factor model with unobservable factors is adequate in capturing the variation of corporate bond portfolio returns, however we cannot identify any linear regression model with observable variables that would be able to do so. Including several economic variables as regressors, like the Fama-French factors, liquidity factors, and allowing for time-varying coefficients did not save the model. Principal component analysis revealed that the residuals from our regressions are highly correlated, with the first factor explaining around 86 percent of the remaining variation. Furthermore, there is a big difference in the R2's, and the coefficients of the factors between the high and low-grade bonds. We view our findings as evidence in favor of segmentation between the Treasury, equity, and corporate bond markets, as well as evidence of segmentation within the corporate bond market. In addition, not only are corporate bond excess returns predictable, but the big missing factor is also predictable. This is particularly important for investing and hedging with corporate bonds.
Book Synopsis Common Factors in Corporate Bond Returns by : Ronen Israel
Download or read book Common Factors in Corporate Bond Returns written by Ronen Israel and published by . This book was released on 2017 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that four well-known characteristics (carry, defensive, momentum and value) explain a significant portion of the cross-sectional variation in corporate bond excess returns. These characteristics have positive risk-adjusted expected returns and are not subsumed by traditional market premia or respective equity anomalies. The returns are economically significant, not explained by macroeconomic exposures, and there is some evidence that mispricing plays a role, especially for momentum.
Book Synopsis Managing a Corporate Bond Portfolio by : Leland E. Crabbe
Download or read book Managing a Corporate Bond Portfolio written by Leland E. Crabbe and published by Wiley. This book was released on 2003-04-21 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Managing a Corporate Bond Portfolio "Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena." —Tim Opler, Director, Financial Strategy Group, CSFB "A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read." —Mary Rooney Head of Credit Strategy, Merrill Lynch "As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one." —William H. Cunningham, Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc. www.wileyfinance.com
Book Synopsis Factor Investing and Asset Allocation: A Business Cycle Perspective by : Vasant Naik
Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Factor Investing in Corporate Bond Markets by : Peter Szini
Download or read book Factor Investing in Corporate Bond Markets written by Peter Szini and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis empirically investigates the prevalence of size, value, low risk and momentum factors in the U.S. corporate bond market and the return characteristics of single- and multi-factor portfolio allocations versus the market capitalization weighted market portfolio. Monthly constituent data from the Bloomberg Barclays U.S. Corporate Bond and Bloomberg Barclays U.S. High Yield indices is used, spanning the period from October 1988 to January 2017. The findings provide evidence for an economically meaningful and statistically significant risk-adjusted performance of all investigated factors. Allocating to corporate bond factors can significantly enhance returns, contribute to diversification and improve portfolio characteristics, such as spreads, quality, yield and duration.
Book Synopsis Essays in asset pricing by : Fatima Khushnud
Download or read book Essays in asset pricing written by Fatima Khushnud and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation follows on an asset pricing theme. Overall, it explores asset pricing tests in the equity and the bond markets and attempts to identify the common risk factors that best explain cross sectional variation in stock and bond returns. The first three studies use US data, while the last study explores European bonds data. The sample period is from January 2002 to December 2012 and the Fama and French (1993) time series framework is used in each of the studies. The first two studies in this dissertation focus on equity markets, while the third and fourth study encompasses the US and European corporate bond markets respectively. There has been extensive research on asset pricing models. However, despite being a well-researched area, there is little consensus as to which model is most appropriate. Motivated by this gap in literature, this thesis builds on the work of Fama and French (1993) and applies their time series framework to both equity and bonds. Chapter 2 draws on the link between firm leverage and stock returns as supported by capital structure theory. It examines whether a leverage (LEV) factor exhibits explanatory power over the US stock return variations. The analysis indicates that the LEV factor significantly contributes towards the explanatory power of the fitted models and thus appears to have some explanatory power over U.S. stock returns. Chapter 3 addresses the question of whether ex-post returns should be used in testing ex-ante asset pricing models. This chapter explores the impact of using IBES mean target price as a proxy for expected price in tests of the CAPM, Fama and French (1993) three factor and the Cahart (1997) four factor models. The analysis suggests that the expectation based proxy of returns performs in a similar manner to realized returns in asset pricing tests and thus the use of realized returns should not adversely bias asset pricing tests. Chapter 4 and 5 add to the bond pricing literature by applying time-series studies to US and European bonds. Chapter 4 investigates common risk factors within the US corporate bond returns. The analysis shows that stock market factors do not add explanatory power to the bond return models used in this study. The bond market factor, DEF, dominates all other explanatory variables in regression analysis. Chapter 5 of this dissertation examines the common risk factors explaining variation within the European corporate bond returns. The results are consistent with Chapter 4 indicating that the European DEF factor also captures much of the variation in European bond returns. This dissertation enhances our understanding of the asset pricing models within a Fama and French (1993) time series framework for both equity and bond markets. Support is provided for the importance of leverage in asset pricing. The choice between realised returns and expected returns is also explored in this thesis, with the results suggesting that this choice has little impact on the results from time series asset pricing tests. The pricing of corporate bonds is also explored with evidence to confirm the Fama and French (193) result that equity and bond pricing models differ considerably in US market. Finally, it is found that the key pricing factors are common to both US and European corporate bonds.
