scholarly journals The Research of Credit Risk of Corporate Bonds Based on Composite Quantile Regression

2014 ◽  
Vol 03 (01) ◽  
pp. 18-23
Author(s):  
长青 柳
Keyword(s):  
Quantile Regression ◽  
Credit Risk ◽  
Corporate Bonds ◽  
Composite Quantile Regression

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

The Distress Anomaly is Deeper than you Think: Evidence from Stocks and Bonds

2021 ◽  
Author(s):  
Doron Avramov ◽  
Tarun Chordia ◽  
Gergana Jostova ◽  
Alexander Philipov
Keyword(s):  
Credit Risk ◽  
Financial Distress ◽  
Corporate Bonds ◽  
Time Varying ◽  
External Financing ◽  
Earnings Expectations ◽  
Limits To Arbitrage

Abstract The distress anomaly reflects the abnormally low returns of high credit risk stocks during financial distress. Evidence from stocks and corporate bonds reinforces the anomaly and challenges rationales based on shareholders’ ability to extract value from bondholders, time-varying betas, lottery-type preferences, biased earnings expectations, and limits-to-arbitrage. Moreover, mispricing of distressed stocks and bonds is associated with excess investment and excess external financing. Potential real distortions are materially understated when assessed based only on equity mispricing. We emphasize the important role of corporate bonds in dissecting the distress anomaly, and show that the anomaly is an unresolved puzzle.

Sign in / Sign up

Export Citation Format

Share Document