When are dividend increases bad for corporate bonds?

2019 ◽  
Vol 60 (2) ◽  
pp. 1295-1326
Author(s):  
Xiaoting Wei ◽  
Cameron Truong ◽  
Viet Do
Keyword(s):  
Corporate Bonds ◽  
Dividend Increases

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

The Illiquidity of Corporate Bonds

CFA Digest ◽  
2011 ◽  
Vol 41 (4) ◽  
pp. 68-70 ◽  
Author(s):  
Spencer L. Klein
Keyword(s):  
Corporate Bonds

Momentum Spillover from Stocks to Corporate Bonds

CFA Digest ◽  
2017 ◽  
Vol 47 (10) ◽  
Author(s):  
Sonia Gandhi
Keyword(s):  
Corporate Bonds

A portfolio optimization model for corporate bonds subject to credit risk

2004 ◽  
Vol 6 (2) ◽  
pp. 31-48 ◽  
Author(s):  
Nagisa Akutsu ◽  
Masaaki Kijima ◽  
Katsuya Komoribayashi
Keyword(s):  
Credit Risk ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Corporate Bonds ◽  
Portfolio Optimization Model

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

2008 ◽  
Author(s):  
Robert A. Jarrow ◽  
Haitao Li ◽  
Sheen Liu ◽  
Chunchi Wu
Keyword(s):  
Corporate Bonds ◽  
Reduced Form
Sign in / Sign up

Export Citation Format

Share Document