Related Books

Time Varying Risk Premia in Corporate Bond Markets
Language: en
Pages: 50
Authors: Redouane Elkamhi
Categories:
Type: BOOK - Published: 2008 - Publisher:

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We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction data. In contrast to previous work, we fi
Liquidity Risk Premia in Corporate Bond Markets
Language: en
Pages: 47
Authors: Frank De Jong
Categories:
Type: BOOK - Published: 2009 - Publisher:

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This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have signifcant exposures to fluctuations
Aspects of Time-varying Risk and Return in Bond Markets
Language: en
Pages: 222
Authors: Don H. Kim
Categories: Bonds
Type: BOOK - Published: 2005 - Publisher:

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Financial Markets and the Real Economy
Language: en
Pages: 117
Authors: John H. Cochrane
Categories: Business & Economics
Type: BOOK - Published: 2005 - Publisher: Now Publishers Inc

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Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Corporate Bond Risk Premia
Language: en
Pages: 63
Authors: Christian Speck
Categories:
Type: BOOK - Published: 2013 - Publisher:

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This paper investigates the holding period risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two priced risk factors are derive