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The Market Risk Premium for Unsecured Consumer Credit Risk

Fleckenstein, Matthias; Longstaff, Francis A. - 2022

We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. The consumer credit risk premium has historically been comparable to high yield corporate bond spreads, but has increased dramatically since the financial...

Persistent link: https://www.econbiz.de/10014091102

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...

Persistent link: https://www.econbiz.de/10012785748

Cross-Sectional Dispersion of Risk in Trading Time

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2021

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10013224117

The Real Value of China's Stock Market

Carpenter, Jennifer N. - 2015

China is the world's largest investor and greatest contributor to global economic growth by wide margins, and will remain so for many years. The efficiency of its financial system in allocating capital to investment will be important to sustain this growth. This paper shows that China's stock...

Persistent link: https://www.econbiz.de/10013027692

Why Does Idiosyncratic Risk Increase with Market Risk?

Bartram, Söhnke M. - 2016

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10012985580

Why Has Idiosyncratic Risk Been Historically Low in Recent Years?

Bartram, Söhnke M. - 2018

Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in the late 1990s that has drawn considerable attention in the literature, average market-model IR is 44% lower in 2013-2017 than in 1996-2000. Macroeconomic variables help explain...

Persistent link: https://www.econbiz.de/10012928982

Anomalies Abroad : Beyond Data Mining

Lu, Xiaomeng - 2017

A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies...

Persistent link: https://www.econbiz.de/10012947659

Funding Value Adjustments

Andersen, Leif B. G. - 2017

-rate swap FVAs and violations of covered interest parity. Contrary to current valuation practice, FVAs are not themselves …

Persistent link: https://www.econbiz.de/10012949437

The Evolution of the Federal Reserve Swap Lines Since 1962

Bordo, Michael D. - 2014

In this paper, we describe the evolution of the Federal Reserve's swap lines from their inception in 1962 as a … the Great Recession. We describe a number of consequences associated with swap operations. We argue, for example, that …

Persistent link: https://www.econbiz.de/10013039857

Banks and Derivatives

Gorton, Gary; Rosen, Richard Joseph - 2021

interest-rate sensitivities of interest rate swap positions of U.S. commercial banks to empirically address the question of … whether swap contracts have increased or decreased systematic risk in the U.S. banking system. We find that the banking system … as a whole faces little net interest-rate risk from swap portfolios …

Persistent link: https://www.econbiz.de/10013224189