corporate bondfactor modelbond portfoliocredit riskIPCAWe propose a new conditional factor model for returns on corporate bonds. The model has four factors with time-varying factor loadings that are instrumented bydoi:10.2139/ssrn.3720789Kelly, Bryan T....
(2019) FIAPARCH and SETAR Equity market returns, volatility index, government bond yields, and debt, Inflation, consumer confidence index, oil prices, oil volatility Galil et al. (2014) Linear Interest rate level (5 y yield) and slope (10 y–2 y yields), equity market returns, ...
A Variance Decomposition for Long-Term Asset Returns This paper uses a vector autoregressive model to decompose excess stock and 10-year bond returns into changes in expectations of future stock dividends, in... JY Campbell,J Ammer - 《Journal of Finance》 被引量: 1844发表: 1993年 Insolvency ...
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...
Describe two advantages and two disadvantages of age-weighting historical returns when implementing historical simulation to VaR estimation. A) What are the two main disadvantages of discounted payback? B) Is the payback method of any real useful...
For example, until recently, few questioned why a mortgage CDO tranche was assigned an AAA rating, like a high-quality plain-vanilla corporate bond. Similarly, few disputed the reliability of life-insurance-embedded value models, despite the fact that these complex models...
Our empirical results, based on long samples of high-frequency equity and bond futures returns, suggest that the dynamic dependencies in the daily continuous sample path variability are well described by an approximate long-memory HAR–GARCH model, while the overnight returns may be modeled by an...
The TIPS - Treasury Bond Puzzle - Lustig, Longstaff, Fleckenstein Know When to Hold 'Em, and Know When to Fold 'Em: The Success of Frequent Hedge Fund Activists - Boyson and Mooradian Volatility Term Structure and the Cross-Section of Option Returns Do Firms Buy Their Stock at Bargain ...
Using data on corporate bond index returns and fund flows between 1991 through 2014, model parameters were calibrated as follows:𝛼=0.00017α=0.00017,𝛽𝑑=0.56βd=0.56,𝛽𝑑−=−0.0002βd−=−0.0002,𝛽𝑤=0.6βw=0.6,𝛽𝑤−=−0.0002βw−=−0.0002. ...
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. ...