Modeling Credit Spreads: The Cross-Section Method Revised

2015 ◽  
Author(s):  
Aurélien Vermylen
Keyword(s):  
Cross Section ◽  
Credit Spreads ◽  
Section Method ◽  
The Cross ◽  
Cross Section Method

Theory of Nonuniform Waveguides: the cross-section method

1998 ◽  
Author(s):  
B. Z. Katsenelenbaum ◽  
L. Mercader del Rio ◽  
M. Pereyaslavets ◽  
M. Sorolla Ayza ◽  
M. Thumm
Keyword(s):  
Cross Section ◽  
Section Method ◽  
The Cross ◽  
Cross Section Method

LONG-SECTION METHOD, CONTRA CROSS-SECTION METHOD IN THE STUDY OF MENTAL DISEASE

1923 ◽  
Vol 79 (3) ◽  
pp. 439-444
Author(s):  
Helge Lundholm ◽  
James S. Plant ◽  
John C. Whitehorn
Keyword(s):  
Cross Section ◽  
Mental Disease ◽  
Section Method ◽  
Cross Section Method

(Il)liquidity Premium in Credit Markets: A Myth?

2019 ◽  
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Credit Markets ◽  
Corporate Bonds ◽  
Credit Spreads ◽  
Limited Evidence ◽  
Liquidity Premium ◽  
Multiple Measures ◽  
The Cross ◽  
Sharpe Ratios

Across multiple measures of “liquidity” and a variety of methods to control for correlated characteristics of more- (less-) liquid bonds, the authors find only limited evidence of a liquidity premium in the cross section of corporate bonds. Specifically, although illiquid bonds have slightly higher credit spreads and directionally higher average returns, portfolios that tilt toward (away from) less (more) liquid bonds exhibit considerably higher levels of volatility. Economically, the low Sharpe ratios of illiquidity factor–mimicking portfolios are hard to justify for an investor. This is puzzling, as theory suggests investors should demand a risk premium for holding less-liquid assets.

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