Showing 1 - 10 of 41
This paper theoretically and empirically studies the relation between credit news uncertainty and corporate bond returns. Our model states that when the quality of credit news is uncertain, bond prices respond more to bad news than to good news, ambiguous news about default likelihood increases...
Persistent link: https://www.econbiz.de/10012896347
This paper proposes empirical methods to measure Credit Default Swap (CDS) return and explores its factor structure. We find that approximated CDS returns deviate significantly from actual returns based on the upfront fee, computed with protection sellers' cash flows. Past CDS returns and the...
Persistent link: https://www.econbiz.de/10014351134
Persistent link: https://www.econbiz.de/10011804836
In this note, we address nonparametric identification of a collective model of household behavior in the presence of additive unobserved heterogeneity in the sharing rule. We show that the (nonstochastic part of the) sharing rule is nonparametrically identified. Moreover, under independence...
Persistent link: https://www.econbiz.de/10011801465
Persistent link: https://www.econbiz.de/10010347808
Persistent link: https://www.econbiz.de/10010407846
Persistent link: https://www.econbiz.de/10008859339
Persistent link: https://www.econbiz.de/10003343731
Persistent link: https://www.econbiz.de/10011793568
Persistent link: https://www.econbiz.de/10011347485