Preferred Habitat, Taxable/Tax-Exempt Yield Spreads, and Cycles in Property/Liability Insurance

1992 ◽  
Vol 24 (4) ◽  
pp. 528 ◽  
Author(s):  
Karlyn Mitchell ◽  
Michael D. McDade
Keyword(s):  
Liability Insurance ◽  
Yield Spreads ◽  
Preferred Habitat ◽  
Tax Exempt

Determinants of the decreasing term structure of relative yield spreads for taxable and tax-exempt bonds

1995 ◽  
Vol 27 (7) ◽  
pp. 583-590 ◽  
Author(s):  
Lawrence Kryzanowski ◽  
Kuan Xu ◽  
Hua Zhang
Keyword(s):  
Term Structure ◽  
Relative Yield ◽  
Yield Spreads ◽  
Tax Exempt

Systematic Variation in Yield Spreads for Tax-Exempt General Obligation Bonds

1981 ◽  
Vol 16 (5) ◽  
pp. 685 ◽  
Author(s):  
Earl D. Benson ◽  
David S. Kidwell ◽  
Timothy W. Koch ◽  
Robert J. Rogowski
Keyword(s):  
Systematic Variation ◽  
Yield Spreads ◽  
General Obligation Bonds ◽  
General Obligation ◽  
Tax Exempt

Surviving Without Liability Insurance—1 Year Later

2005 ◽  
Vol 35 (1) ◽  
pp. 64
Author(s):  
MARY ELLEN SCHNEIDER
Keyword(s):  
Liability Insurance

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.

Corporate Yield Spreads and Bond Liquidity

CFA Digest ◽  
2007 ◽  
Vol 37 (3) ◽  
pp. 18-19
Author(s):  
Edgar J. Sullivan
Keyword(s):  
Yield Spreads ◽  
Bond Liquidity
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