type="main" xml:id="acfi12022-abs-0001" xml:lang="en" <title type="main">Abstract</title> <p>We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky asset increases (decreases) during a bear (bull) market state. We first provide a simple conceptual...</p>

No abstract received.

The main purpose of this paper is to extend the empirical research on the behavior of credit spreads on the USD denominated Malaysian bonds. We find that international political events have more influence on the changes of bond yield spreads from Malaysian USD issues than domestic events....

This paper investigates two important relationships in Latin American Eurobond markets: the determinants of credit spread changes using structural model and macroeconomic determinants and the underlying equilibrium dynamics when there is a default episode. We find four significant determinants...

This paper examines the behaviour of credit spreads on key sovereign issuers from the Latin American region, which accounts for more than one third of international bond issues by developing, or emerging, markets. Since the late 1990s, credit spreads on Latin American issues have declined...