The collateralized loan obligation, CLO, market withstood the recent financial crisis with minimal losses compared to other structured asset-backed securities. Furthermore, the issuance of new CLOs is now above pre-crisis levels, prompting an understanding of what drives CLO performance. A...

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at...

A q-theoretic model highlights the interaction of cash and valuations in explaining expected returns. Cash policy helps identify variation in valuations, with higher cash indicating a higher valuation. Higher cash also indicates a higher return when controlling for valuations, while controlling...

In a q-theoretic model featuring financing constraints, higher expected returns accrue to firms with lower valuations or higher cash, but valuations and cash are positively related. As a result, purging the relation between returns and valuations of cash results in a stronger value effect while...

We study the relation between US inflation and the performance of global asset classes (including bonds, stocks, industry portfolios, factor premiums, commodities, and REITs), both over a long sample period (1927–2020) and over the most recent 30 years (1991–2020). We find that most assets...

We develop a model of equity financing risk (EFR; i.e., risky equity issuance costs) to study the joint effects of precautionary savings and research and development (R&D) investments on expected returns. Our evidence confirms the model: (1) financial slack (i.e., liquid assets relative to R&D)...