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Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Persistent link: https://www.econbiz.de/10012422114

Commonality in hedge fund returns: driving factors and implications

Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - 2014

We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

Persistent link: https://www.econbiz.de/10011605703

Risk and Return in International Corporate Bond Markets

De Santis, Roberto A. - 2020

Persistent link: https://www.econbiz.de/10012825946

Commonality in Hedge Fund Returns : Driving Factors and Implications

Bussière, Matthieu - 2014

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds' commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds' exposure to...

Persistent link: https://www.econbiz.de/10013057670

Forecast performance in the ECB SPF: Ability or chance?

Meyler, Aidan - 2020

reflects both the absolute and relative performance of each forecaster and they used bootstrap techniques to compare the …In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they …

Persistent link: https://www.econbiz.de/10012422033

Flexible asset purchases and repo market functioning

Grasso, Adriana; Poinelli, Andrea - 2025

Flexibility has progressively become a distinctive feature of the implementation of the Eurosystem's asset purchases. In its many manifestations, flexibility has also been used by asset managers in the daily selection of sovereign bonds to limit the impact of asset purchases on repo market...

Persistent link: https://www.econbiz.de/10015199443

Climate capitalists

Gormsen, Niels; Huber, Kilian; Oh, Sangmin - 2024

Firms' perceived cost of green capital has decreased since the rise of sustainable investing. Green and brown firms perceived their cost of capital to be the same before 2016, but after the post-2016 surge in sustainable investing, green firms perceived their cost of capital to be on average 1...

Persistent link: https://www.econbiz.de/10015199550

The rise in the cross sectoral dispersion of earnings expectations during COVID-19

Bats, Joost; Greif, William; Kapp, Daniel - 2022

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....

Persistent link: https://www.econbiz.de/10013367994

Fund fragility: The role of investor base

Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie - 2023

by time-varying differences in fund performance. Results for equity funds are similar, although they faced substantially … smaller outflows, coupled with much larger declines in performance, compared to bond funds. Our findings suggest that a …

Persistent link: https://www.econbiz.de/10014543612

Financial stability considerations in the conduct of monetary policy

Bochmann, Paul; Dieckelmann, Daniel; Fahr, Stephan; … - 2023

We empirically analyze the interaction of monetary policy with financial stability and the real economy in the euro area. For this, we apply a quantile vector autoregressive model and two alternative estimation approaches: simulation and local projections. Our specifications include monetary...

Persistent link: https://www.econbiz.de/10014543621