The Interaction between Corporate Bonds Yields, Equity Market and the Macro Economy

2012 ◽  
Author(s):  
Samuel B. Bulmash ◽  
Nilesh Balaram Sah
Keyword(s):  
Corporate Bonds ◽  
Equity Market

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.

Improving Transparency in the Private Equity Market

CFA Magazine ◽  
2011 ◽  
Vol 22 (3) ◽  
pp. 10-10
Author(s):  
Osman Ghani
Keyword(s):  
Private Equity ◽  
Equity Market

Hedging Equity Market Risk in Hedge Fund Investing: A New Approach

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 9-11
Author(s):  
Keith Joseph MacIsaac
Keyword(s):  
Hedge Fund ◽  
Equity Market ◽  
Market Risk ◽  
New Approach

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
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