High Yield Spreads, Real Economic Activity, and the Financial Accelerator

2013 ◽  
Author(s):  
Pierangelo De Pace ◽  
Kyle D. Weber
Keyword(s):  
Economic Activity ◽  
High Yield ◽  
Financial Accelerator ◽  
Yield Spreads

High yield spreads, real economic activity, and the financial accelerator

2013 ◽  
Vol 121 (3) ◽  
pp. 346-355 ◽  
Author(s):  
Pierangelo De Pace ◽  
Kyle D. Weber
Keyword(s):  
Economic Activity ◽  
High Yield ◽  
Financial Accelerator ◽  
Yield Spreads

scholarly journals Yield Spreads As Predictors of Economic Activity: A Real-Time VAR Analysis

2010 ◽  
Vol 2010 (1008) ◽  
Author(s):  
N. Kundan Kishor ◽  
◽  
Evan F. Koenig ◽  
Keyword(s):  
Real Time ◽  
Economic Activity ◽  
Yield Spreads ◽  
Var Analysis

Future Economic Information Embedded in High Yield Spreads

2016 ◽  
Author(s):  
Jack Clark Francis ◽  
Christopher Hessel ◽  
Jun Wang
Keyword(s):  
High Yield ◽  
Yield Spreads ◽  
Economic Information

Future Economic Information Embedded in High Yield Spreads

2016 ◽  
Author(s):  
Jack Clark Francis ◽  
Christopher Hessel ◽  
Jun Wang
Keyword(s):  
High Yield ◽  
Yield Spreads ◽  
Economic Information

Future Economic Information Embedded in High Yield Spreads

2016 ◽  
Vol 26 (2) ◽  
pp. 32-39
Author(s):  
Jack Clark Francis ◽  
Christopher Hessel ◽  
Jun Wang
Keyword(s):  
High Yield ◽  
Yield Spreads ◽  
Economic Information

High Yield Bonds

2019 ◽  
pp. 599-620
Author(s):  
Byron C. Barnes ◽  
Tony Calenda ◽  
Elvis Rodriguez
Keyword(s):  
Interest Rates ◽  
Economic Activity ◽  
Default Risk ◽  
Credit Default Swap ◽  
High Yield ◽  
Credit Default ◽  
Key Drivers ◽  
Default Swap ◽  
Investment Grade ◽  
Credit Event

High yield bonds (HYBs) have become an integral part of the funding and investment landscape. HYBs are bonds rated below investment grade, indicating a potentially greater default risk and concomitant return. Although often associated with leveraged buyouts (LBOs), corporations also use HYBs to finance general corporate needs. The key drivers of HYB issuance include general economic activity, the number and size of transactions requiring financing, interest rates, and the availability of substitute financial products such as leveraged loans. Leveraged loans are another source of financing for issuers with a similar profile as HYB issuers. A key difference between HYBs and leveraged loans is that the covenants associated with a leveraged loan are typically more lender friendly. Similar to investment grade bonds, investors can purchase insurance to hedge a long HYB position against a credit event by using a credit default swap.

scholarly journals In Search of Leading Indicator Property of Yield Spread for India: An Approach Based on Quantile and Wavelet Regression

2015 ◽  
Vol 2015 ◽  
pp. 1-12 ◽  
Author(s):  
Arif Billah Dar ◽  
Firdous Ahmad Shah
Keyword(s):  
Quantile Regression ◽  
Time Scales ◽  
Economic Activity ◽  
Predictive Power ◽  
Output Growth ◽  
Yield Spread ◽  
Predictive Information ◽  
Yield Spreads ◽  
Wavelet Regression ◽  
Leading Indicator

The leading indicator ability of yield spread for future output growth and inflation is tested for India. Using the yields on securities with maturities ten years and three months to construct yield spread, we study the predictive power of yield spread for output growth and inflation. Our results based on regression of future inflation and output on yield spreads indicate that there is no information in the yield spread about future economic activity and inflation in India. Further, the predictive power of yield spread is analyzed over different quantiles of inflation and output growth using quantile regression; we find that there is again no evidence of predictive information in the yield spreads. Using multiscale wavelet based regression, predictive power is however unveiled at higher time scales for output growth only.

scholarly journals Financial Media, Price Discovery, and Merger Arbitrage

2020 ◽  
Author(s):  
Matthias M M Buehlmaier ◽  
Josef Zechner
Keyword(s):  
Standard Deviation ◽  
Computational Linguistics ◽  
Stock Prices ◽  
High Yield ◽  
Standard Deviation Increase ◽  
Yield Spreads ◽  
Percentage Points ◽  
The Media ◽  
Financial Media ◽  
Merger Arbitrage

Abstract Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger completion increases the subsequent 12-day return of a long-short merger strategy by 1.2 percentage points. Filtering out the 28% of announced deals with the lowest media-implied completion probability increases the annualized alpha from merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on days when only few merger deals are announced.

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