Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Volatility And The Cross Section Of Corporate Bond Returns
Download Volatility And The Cross Section Of Corporate Bond Returns full books in PDF, epub, and Kindle. Read online Volatility And The Cross Section Of Corporate Bond Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Volatility and the Cross-Section of Corporate Bond Returns by : Kee H. Chung
Download or read book Volatility and the Cross-Section of Corporate Bond Returns written by Kee H. Chung and published by . This book was released on 2018 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016. Results show that bonds with high volatility betas have low expected returns and this negative relation appears in all segments of corporate bonds. Further, bonds with high idiosyncratic bond (stock) volatility have high (low) expected returns, and this relation strengthens as ratings decrease. Conventional risk factors and bond/issuer characteristics cannot account for these cross-sectional relations. There is evidence that the effect of idiosyncratic stock volatility on expected bond returns works through the channel of contemporaneous stock returns.
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.
Book Synopsis The Joint Cross Section of Options and Bonds by : Yoni Navon
Download or read book The Joint Cross Section of Options and Bonds written by Yoni Navon and published by . This book was released on 2014 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy of buying (selling) the portfolio with lowest (highest) changes in options implied volatility yields an average monthly bond return of 1.03% in excess of the risk free rate. Returns based on this strategy are statistically highly significant and economically very meaningful. The predictive ability persists up to two months. In contrast, we find no evidence that bond prices incorporate information prior to option and stock prices. Since bond investors are generally sophisticated institutional investors who process information in an efficient manner and the predictive ability of options is relatively long, we conclude that informed trading rather than superior information processing abilities is responsible for the predictive ability of options.
Book Synopsis Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence by : Jennie Bai
Download or read book Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence written by Jennie Bai and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the corporate bond market. We find a significantly positive intertemporal relation between expected return and risk in the bond market and the time-series predictability is driven by aggregate systematic risk instead of aggregate idiosyncratic risk. We also propose a new measure of systematic risk for corporate bonds and find a positive link between systematic risk and the cross-section of future bond returns. We provide an explanation for the significance of systematic (idiosyncratic) risk based on different investor preferences and informational frictions in the bond (equity) market.
Book Synopsis Does Stock Return's Idiosyncratic Volatility Still Predict Corporate Bond Returns? by : Sharif Mazumder
Download or read book Does Stock Return's Idiosyncratic Volatility Still Predict Corporate Bond Returns? written by Sharif Mazumder and published by . This book was released on 2018 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: In contrast to earlier decades, since the early 2000s, the average idiosyncratic volatility of stocks has fallen back to its pre-1990s level. Here, we examine whether decreasing volatility still helps to explain the cross-sectional variation of bond returns. Using a panel data of corporate bond returns spanning July 2002 to June 2016, we find that the average bond returns and lag idiosyncratic volatility are positively associated. The average returns on bonds with high sensitivities to average idiosyncratic volatilities exceed bonds with low sensitivities by about 2.4% for financial firms and 1.5% for nonfinancial firms. The positive association is robust when we control for size, bond ratings, leverage ratio, and bond maturity as well as the effects of default spread, term spread, and liquidity spread. The results suggest that idiosyncratic volatility is still an important factor in explaining the cross-sectional variation of average bond returns.
Book Synopsis In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market by : Jennie Bai
Download or read book In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market written by Jennie Bai and published by . This book was released on 2019 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting that institutional investors dominating the bond market hold well-diversified portfolios with a negligible exposure to bond-specific risk. The composite measure of systematic risk also predicts the distribution of future market returns, and the systematic risk factor earns a positive price of risk, consistent with Merton's (1973) ICAPM
Book Synopsis The Cross-Section of Expected Corporate Bond Returns by : William R. Gebhardt
Download or read book The Cross-Section of Expected Corporate Bond Returns written by William R. Gebhardt and published by . This book was released on 2003 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds that default betas are significantly related to the cross-section of average bond returns even after controlling for characteristics such as duration, ratings, and yield-to-maturity. Among characteristics, only yield-to-maturity is significantly related to average bond returns after controlling for default and term betas. The default and term factors are able to price the returns of beta-sorted portfolios better than they do the returns of yield-sorted portfolios. The magnitude of the ex ante Sharpe ratio generated by yield-sorted portfolios suggests non-risk based explanations. Overall, given the elusive nature of systematic risk in empirical asset pricing, the central finding of our paper is that systematic risk matters for corporate bonds.
Book Synopsis The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns by : Gi H. Kim
Download or read book The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns written by Gi H. Kim and published by . This book was released on 2019 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a comprehensive empirical analysis on the implication of CDS-Bond basis arbitrage for the pricing of corporate bonds. Basis arbitrageurs introduce new risks such as funding liquidity and counterparty risk into the corporate bond market, which was dominated by passive investors before the existence of CDS. We show that a basis factor, constructed as the return differential between LOW and HIGH quintile basis portfolios, is a superior empirical proxy that captures the new risks. In the cross section of investment grade bond returns, the basis factor carries an annual risk premium of about 3% in normal periods.
Book Synopsis Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns by : Söhnke M. Bartram
Download or read book Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns written by Söhnke M. Bartram and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the role played by "bond book-to-market" ratios in U.S. corporate bond pricing. Controlling for numerous risk factors tied to default and priced asset risk, including yield-to-maturity, we find that the ratio of a corporate bond's book value to its market price strongly predicts the bond's future return. The quintile of bonds with the highest book-to-market ratios outperforms the quintile with the lowest ratios by more than 3% per year, other things equal. Additional evidence on signal delay, scope of signal efficacy, and factor risk rejects the thesis that the corporate bond market is perfectly informationally efficient, although significant positive alpha spreads are erased by transaction costs.
Book Synopsis Investor Sentiment and the Cross-Section of Corporate Bond Returns by : Xu Guo
Download or read book Investor Sentiment and the Cross-Section of Corporate Bond Returns written by Xu Guo and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper constructs an investor sentiment measure at both individual bond and aggregate levels, uncovering the first evidence that investor sentiment has strong cross- sectional predictive power for corporate bond returns. High bond investor sentiment leads to low future returns. A portfolio that longs low sentiment bonds and shorts high sentiment ones generates an average monthly return of 0.87% for top-quality bonds and 1.48% for speculative-grade bonds. The results are robust to controlling for risk factors and bond characteristics. The cross-sectional predictability of bond returns is countercyclical, and the predictability appears to stem from its predictive power on macroeconomic conditions.
Book Synopsis Short Selling and Cross-Section of Corporate Bond Returns by : Stephen E. Christophe
Download or read book Short Selling and Cross-Section of Corporate Bond Returns written by Stephen E. Christophe and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between short selling in the equity market and corporate bond returns. We show that both shorting activity and size of short trades are inversely correlated with contemporaneous bond returns. In addition, firms with heavily shorted shares or large short trade size experience significantly negative future bond returns. Further tests indicate that the relation between short trade size and subsequent bond returns is consistent with stealth trading of short sellers. The impact of both shorting activity and short trade size on bond returns is robust to various controls for risk, liquidity, and other pricing factors. In examining the sources of information in short selling, we find that firms associated with heavy short selling or large short trade size are likely to subsequently experience negative earnings surprises, higher credit risk, and reduced dividends. The overall results support the proposition that short trades in the equity market exert important valuation consequences in the corporate bond market.
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 News and the Cross-Section of Expected Corporate Bond Returns by : Abhay Abhyankar
Download or read book News and the Cross-Section of Expected Corporate Bond Returns written by Abhay Abhyankar and published by . This book was released on 2009 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios. We find that two factors - innovations about future inflation and innovations about future real interest rates - explain the cross-section of expected corporate bond returns in our sample. Our model provides an alternative to the ad hoc risk factor models used, for example, in evaluating the performance of bond mutual funds.
Book Synopsis Equity Volatility and Corporate Bond Yields by : John Y. Campbell
Download or read book Equity Volatility and Corporate Bond Yields written by John Y. Campbell and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields
Book Synopsis Equity Volatility and Corporate Bond Yields by : John Y. Campbell
Download or read book Equity Volatility and Corporate Bond Yields written by John Y. Campbell and published by . This book was released on 2010 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields.
Book Synopsis Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns? by : Jennie Bai
Download or read book Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns? written by Jennie Bai and published by . This book was released on 2016 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether the distributional characteristics of corporate bonds predict the cross-sectional differences in future bond returns. The results indicate a significantly positive (negative) link between volatility (skewness) and expected returns, whereas kurtosis does not make a robust incremental contribution to predictability. These findings remain intact after controlling for transaction costs, liquidity, and bond characteristics. We also propose new risk factors based on the distributional moments of corporate bond returns and show that these factors represent an important source of common return variation missing from the long-established stock and bond market factors.
Book Synopsis Idiosyncratic Volatility vs. Liquidity? Evidence from the U.S. Corporate Bond Market by : Madhu Kalimipalli
Download or read book Idiosyncratic Volatility vs. Liquidity? Evidence from the U.S. Corporate Bond Market written by Madhu Kalimipalli and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our main objective in this paper is to determine empirically the extent to which fixed-income investors are concerned about equity volatility and bond liquidity in corporate bond spreads. We extend Campbell and Taksler (2003) by conditioning for underlying bond liquidity, and exploring the relative contribution of idiosyncratic equity volatility and bond liquidity in the cross-sectional pricing of corporate bond spreads. Portfolio analysis and Fama-Macbeth regressions reveal that while both volatility and liquidity effects are significant, volatility (representing ex-ante credit shock) has the first-order impact, and liquidity (represented by bond characteristics and price impact measure) has the secondary impact on bond spreads. Conditional analysis further reveals that distressed bonds and distress regimes are both associated with significantly higher impact of credit and liquidity shocks. However, the relative impact of these shocks varies. Volatility effects are more prominent for distressed bonds and during high-distress regimes; liquidity effects are stronger for less distressed bonds and during low-distress regimes. Our findings also indicate that, unlike equity markets, idiosyncratic risk does not subsume the information in liquidity in explaining corporate bond spreads.
