We propose a conditional factor model for corporate bond returns with five factors and time-varying factor loadings. We have three main empirical findings. First, our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the ...
No, they’re not duplicates. If you don’t use filters, the API returns both quarterly and annual estimates, which can make it look like the same fiscal year appears more than once. To avoid this, use the period filter in your query: Quarterly only: ...?period=quarter Annual only: ....
The theory of corporate finance. Princeton University Press. Welch, I. (2004). Capital structure and stock returns. Journal of Political Econ- omy 112(1), 106–131. Welch, I. (2011). Two common problems in capital-structure research. Interna- tional Review of Finance 11(1), 1–17. 53...
The bond investor can be any individual or institutional investor who wishes to earn potentially high returns from the CAT bond or to diversify its investment portfolio.Footnote3 FIGURE 4. Flowchart of the CAT Bond Market. Display full size 3.2. The Storm CAT Bond Structure The bond issuer ...
bond over the average duration over the look-back period. For example, for a five-year bond with one year remaining to expiration, a model utilizing the prior two years of returns to estimate risk would reflect the risk of a bond with two years until expiration (reflective of the fact ...
A bond pricing formula under a non-trivial, three-factor model of interest rates Econom. Lett. (1996)View more references Cited by (2) Optimal reinsuring of CDS contracts in OTC markets 2024, OPSEARCH Impact of media attention, corporate announcements on stock market returns based on big data...
They can be made consistent with the risk-neutral probabilities of default backed out from corporate bond prices or CDS spreads. Their main disadvantage is that the range of default correlations that can be achieved is limited. Even when there is a perfect correlation between two hazard rates, ...
Due to suppressed demand for factors of production, the returns on both capital and labour declined. The relatively higher effects of supply disruptions over output loss triggered higher inflation rate albeit the Key repo rate being subject to a squeeze. Policywise, the Mauritian authorities can ...
Using data on corporate bond index returns and fund flows between 1991 through 2014, model parameters were calibrated as follows: α = 0.00017, βd = 0.56, βd− = −0.0002, βw = 0.6, βw− = −0.0002. Investor inflows and redemptions affect the fund's cash position, which is...
The DuPont analysis, pioneered by the DuPont Corporation, offers a structured approach to assessing fundamental performance. It involves breaking down the return on equity (ROE) into various components, aiding investors in comprehending the factors influencing a company's returns. ...