We measure credit risk premia---prices for bearing corporate default risk in excess of expected default losses---using Markit CDS and Moody's Analytics EDF datadoi:10.2139/ssrn.3077352Antje BerndtRohan DouglasDarrell DuffieMark FergusonStanford University, Graduate School of BusinessSocial Science ...
Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment Around the Stock Crash of October 1987 来自 ideas.repec.org 喜欢 0 阅读量: 57 作者: JJ Siegel 摘要: Economists have produced no identifiable event which could justify, on fundamental grounds, the stock market crash of October...
发表论文 近日,经济学院青年教师陈坚强博士(第一作者)撰写的论文《Environmental Liabilities, Borrowing Costs, and Pollution Prevention Activities: the Nationwide Impact of the Apex Oil Ruling》在金融领域国际权威期刊《公司金融期刊》(Jou...
As we’ve mentioned in recent months, total risk premia on US corporate bonds is at itslowest level ever. Meanwhile, the debt that US corporates have loaded onto their balance sheets has steadily climbed to the point where leverage is now at an all-time high. While the credit to GDP calc...
In revisiting these findings, we conclude that all of the proposed nontraded factors are redundant and often spurious, that is, these factors do not command statistically significant risk premia and do not improve on the risk-return trade-off for corporate bonds. Moreover, the risk premia (...
Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk... ZHIGUO,HE,WEI,... - 《Journal of Finance》 被引量: 528发表: 2012年 Liquidity Risk Premia in Corporate Bond Markets In terms of exp...
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The introduction of macroeconomic risks helps the model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle. Across different credit ratings, our calibrated model can simultaneously match the average default probabilities, credit spreads, and ...
(2015) who report that reputation changes are universally inversely related to the cost of equity, whereas our analysis shows that only reputation losses are associated with higher future risk premia. There are several possible explanations for this divergence. First, Cao et al. (2015) measure ...
We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate ...