Internet Appendix for 'The Oligopoly Lucas Tree: Consumption Risk and Industry-Level Risk Exposure'

2020 ◽  
Author(s):  
Winston Dou ◽  
Yan Ji ◽  
Wei Wu
Keyword(s):  
Risk Exposure ◽  
Industry Level ◽  
Consumption Risk

Learning about the Consumption Risk Exposure of Firms

2021 ◽  
Author(s):  
Yongjin Kim ◽  
Lars-Alexander Kuehn ◽  
Kai Li
Keyword(s):  
Risk Exposure ◽  
Consumption Risk

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.

Asset Pricing with Idiosyncratic Consumption Risk and Epstein-Zin Preferences

2011 ◽  
Author(s):  
Bernard Dumas ◽  
Semyon Malamud ◽  
Michael C. Nowotny
Keyword(s):  
Asset Pricing ◽  
Consumption Risk

Fiscal Policy and the Distribution of Consumption Risk

2011 ◽  
Author(s):  
Mariano Massimiliano Croce ◽  
Thien Tung Nguyen ◽  
Lukas Schmid
Keyword(s):  
Fiscal Policy ◽  
Consumption Risk
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