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Risk and return in international corporate bond markets

Gespeichert in:

Personen und Körperschaften: Bekaert, Geert (VerfasserIn), De Santis, Roberto A. (VerfasserIn)
Titel: Risk and return in international corporate bond markets/ Geert Bekaert, Roberto A. De Santis
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2020]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2452 (August 2020)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor model perspective, local factors contribute substantially more to the variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply.
Umfang: 1 Online-Ressource (circa 173 Seiten); Illustrationen
ISBN: 9789289943697
9289943696
DOI: 10.2866/936363