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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
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Risk and Return in International Corporate Bond Markets
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/10012825946
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Mutual funds and safe government bonds: Do returns matter?
Graziano, Marco; Habib, Maurizio Michael - 2024
This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...
Persistent link: https://www.econbiz.de/10014543600
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Bank leverage cycles
Nuño, Galo; Thomas, Carlos - 2013
. Leverage has contributed more than equity to fluctuations in total assets. All three variables are several times more volatile … than GDP. Leverage has been positively correlated with assets and (to a lesser extent) GDP, and negatively correlated with … to endogenous leverage constraints, and assess its ability to replicate the facts. In the model, banks borrow in the form …
Persistent link: https://www.econbiz.de/10011605569
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How does risk flow in the credit default swap market?
D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomas; … - 2017
We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...
Persistent link: https://www.econbiz.de/10011667197
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Institutional presence in secondary bank bond markets: How does it affect liquidity and volatility?
Oprică, Silviu; Weistroffer, Christian P. - 2019
Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...
Persistent link: https://www.econbiz.de/10012142120
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Euro area sovereign yield dynamics: the role of order imbalance
Menkveld, Albert J.; Cheung, Yiu Chung; de Jong, Frank - 2004
We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...
Persistent link: https://www.econbiz.de/10011604431
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How Does Risk Flow in the Credit Default Swap Market?
D'Errico, Marco - 2017
We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counter-parties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...
Persistent link: https://www.econbiz.de/10012955748
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Institutional Presence in Secondary Bank Bond Markets : How Does It Affect Liquidity and Volatility?
Oprica, Silviu - 2019
Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...
Persistent link: https://www.econbiz.de/10012871121
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Euro Area Sovereign Yield Dynamics : The Role of Order Imbalance
Menkveld, Albert J. - 2005
We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...
Persistent link: https://www.econbiz.de/10012785142