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Risk and return in international corporate bond markets
Gespeichert in:
Personen und Körperschaften: | , |
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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]
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Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2452 (August 2020)
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Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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. |
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Umfang: | 1 Online-Ressource (circa 173 Seiten); Illustrationen |
ISBN: |
9789289943697
9289943696 |
DOI: | 10.2866/936363 |