This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible …

corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …

spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …

predictors, and in part on the basis of their own information set. In this portfolio allocation process, managers concern … information. In doing this, we impose a structure on fund returns, betas, and bench-mark returns that help to analyse how managers …

has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …