The Interaction between Corporate Bonds Yields, Aggregate Equity Market Valuations and the Macro Economy: Evidence that BAA Bond Premiums are Not Free from Biases Favoring the 'More Immediate' Time Horizon

2009 ◽  
Author(s):  
Samuel B. Bulmash
Keyword(s):  
Time Horizon ◽  
Corporate Bonds ◽  
Equity Market ◽  
Market Valuations

scholarly journals Financial Crises, Regulation and Growth

2008 ◽  
Vol 206 ◽  
pp. 56-65 ◽  
Author(s):  
Ray Barrell ◽  
Ian Hurst ◽  
Simon Kirby
Keyword(s):  
General Equilibrium ◽  
Financial Crises ◽  
Credit Rationing ◽  
Equity Market ◽  
Dynamic Stochastic General Equilibrium ◽  
Significant Rise ◽  
Global Model ◽  
Dynamic Stochastic ◽  
Market Valuations ◽  
The Impact

The paper discusses the effects on growth of a systemic banking crisis as a result of debt defaults. These effects will come from the impact of credit rationing on consumption and credit and from the impacts of a significant rise in the spread between lending and borrowing rates for both producers and consumers. The analysis uses the dynamic stochastic general equilibrium version of the National Institute global model. The paper also investigates the impact on output of a permanent, regulation induced, rise in margins in the financial sector, taking into account the impacts of regulation on equity market valuations.

scholarly journals Finding the Bad Apples in the Barrel

2019 ◽  
Vol 19 (180) ◽  
Author(s):  
Will Kerry
Keyword(s):  
Banking Sector ◽  
Banking System ◽  
Equity Market ◽  
Bank Capital ◽  
Regulatory Capital ◽  
Capital Ratios ◽  
Market Valuations ◽  
Better Than

This paper measures the performance of different metrics in assessing banking system vulnerabilities. It finds that metrics based on equity market valuations of bank capital are better than regulatory capital ratios, and other metrics, in spotting banks that failed (bad apples). This paper proposes that these market-based ratios could be used as a surveillance tool to assess vulnerabilities in the banking sector. While the measures may provide a somewhat fuzzy signal, it is better to have a strategy for identifying bad apples, even if sometimes the apples turn out to be fine, than not being able to spot any bad apples before the barrel has been spoiled.

Before I Die

GeroPsych ◽  
2018 ◽  
Vol 31 (3) ◽  
pp. 151-162 ◽  
Author(s):  
Qiao Chu ◽  
Daniel Grühn ◽  
Ashley M. Holland
Keyword(s):  
End Of Life ◽  
Psychosocial Development ◽  
Time Horizon ◽  
Development Theory ◽  
Life Stages ◽  
Socioemotional Selectivity Theory ◽  
Socioemotional Selectivity ◽  
Time Horizons

Abstract. We investigated the effects of time horizon and age on the socioemotional motives underlying individual’s bucket-list goals. Participants were randomly assigned to one of three time-horizon conditions to make a bucket list: (1) an open-ended time horizon (Study 1 & 2), (2) a 6-month horizon (i.e., “Imagine you have 6 months to live”; Study 1 & 2), and (3) a 1-week horizon (Study 2). Goal motives were coded based on socioemotional selectivity theory and psychosocial development theory. Results indicated that time horizon and age produced unique effects on bucket-list goal motives. Extending past findings on people’s motives considering the end of life, the findings suggest that different time horizons and life stages trigger different motives.

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.

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