منابع مشابه
Corporate Bond Risk Premia
This paper investigates the risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two risk factors are derived from yield and macroeconomic data: a priced term risk factor and a priced credit risk factor explain half of the variation in one-year corporate and Treasury excess returns. The information of the term risk factor is not represented by major yield character...
متن کاملBond Variance Risk Premia
Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected varia...
متن کاملRobust Bond Risk Premia
Recent studies appear to have found evidence that information not reflected in the yield curve helps predict interest rates and excess bond returns. These studies reject the Markov property of the yield curve and conclude that there is unspanned or hidden information that should be used in forecasting. We revisit the evidence of these papers using novel econometric techniques that address the d...
متن کاملBond Risk Premia and Realized Jump Risk∗
We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size—identified from high-frequency bond returns using the bi-power variation technique—substantially increases the R2 of the regression. This result is consistent with the setting of an unspanned risk factor in which the conditional distribution o...
متن کاملLiquidity Risk Premia in Corporate Bond Markets∗
This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have significant exposures to fluctuations in treasury bond liquidity and equity market liquidity. Further, this liquidity risk is a priced factor for the expected returns on corporate bonds, and the associated liquidity risk premia help to explain the credit spread puzzle. In t...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2009
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhp081