Pricing Risk Factors in Corporate Bond Returns and Yield Spreads

2021 ◽  
Author(s):  
Sattar Mansi ◽  
Yaxuan Qi ◽  
John K. Wald
Keyword(s):  
Risk Factors ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Returns ◽  
Pricing Risk

Common risk factors in the cross-section of corporate bond returns

2019 ◽  
Vol 131 (3) ◽  
pp. 619-642 ◽  
Author(s):  
Jennie Bai ◽  
Turan G. Bali ◽  
Quan Wen
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Corporate Bond ◽  
Bond Returns ◽  
Common Risk Factors ◽  
The Cross

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.

Cash Flow Volatility and Corporate Bond Yield Spreads

2008 ◽  
Author(s):  
Kenneth R. Vetzal ◽  
Alan V. S. Douglas ◽  
Alan Guoming Huang
Keyword(s):  
Cash Flow ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield ◽  
Cash Flow Volatility

Short Selling and Corporate Bond Returns

2013 ◽  
Author(s):  
Stephen E. Christophe ◽  
Michael G. Ferri ◽  
Jim Hsieh ◽  
Tao-Hsien Dolly King
Keyword(s):  
Short Selling ◽  
Corporate Bond ◽  
Bond Returns
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