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 ...
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...
Common risk factors in the returns on stocks and bonds J. Financ. Econ. (1993) LiuL. et al. The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in china J. Financ. Econ. (2017) PastorL. et al. Political uncertainty and risk premia J. Financ. Econ. (...
That is, counter-cyclical leverage increases risk premia in downturns, which are associated with concurrent low dividend–price ratios. The resulting drift term for returns implies that low prices predict high expected returns and vice-versa (SF1). After a negative shock, the price or supply of...
A potential increase in risk premia affecting both the cost of debt and equity for bank-reliant corporates will pose an added challenge for these EM firms as they seek investment opportunities that earn a return commensurate with their cost of capital....
(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 ...
Right now, with risk premia so high for equities, performance needs to match to justify that risk. Active fixed income may offer healthy yields and tight scrutiny of credit with comparatively less risk. A corporate bondETFwith an active approach, for example, could benefit portfolios and investor...
Right now, with risk premia so high for equities, performance needs to match to justify that risk. Active fixed income may offer healthy yields and tight scrutiny of credit with comparatively less risk. A corporate bond ETF with an active approach, for example, could benefit portfolios and inve...
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 (...
Yet, there are ongoing concerns regarding market inefficiencies, particularly in terms of accurately reflecting physical climate risks in risk premia, as indicated by studies such as Hong et al. (2019), Baldauf et al. (2020), Bakkensen and Barrage (2021), and Gostlow (2022). A major ...