What Do We Know About Corporate Bond Returns?

2021 ◽  
Vol 13 (1) ◽  
Author(s):  
Jing-Zhi Huang ◽  
Zhan Shi
Keyword(s):  
Empirical Studies ◽  
Corporate Bond ◽  
Annual Review ◽  
Publication Date ◽  
Risk Modeling ◽  
Cross Sectional ◽  
Merton Model ◽  
Bond Returns ◽  
Bond Return ◽  
Model Based Analysis

Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as time-series evidence. We then present a model-based analysis of individual corporate bond returns using the structural approach for credit risk modeling. We show, among other things, that the expected corporate bond return implied by the Merton model predicts 1-month-ahead corporate bond returns in the cross section. Expected final online publication date for the Annual Review of Financial Economics, Volume 13 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

scholarly journals Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

2017 ◽  
Vol 52 (4) ◽  
pp. 1301-1342 ◽  
Author(s):  
Tarun Chordia ◽  
Amit Goyal ◽  
Yoshio Nozawa ◽  
Avanidhar Subrahmanyam ◽  
Qing Tong
Keyword(s):  
Equity Returns ◽  
Corporate Bond ◽  
Idiosyncratic Volatility ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Unexpected Earnings ◽  
Bond Returns ◽  
Bond Return ◽  
Asset Growth ◽  
Sharpe Ratios

Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds. Cross-sectional bond return predictors generally do not provide materially high Sharpe ratios after accounting for trading costs.

scholarly journals The Capitalization of Agricultural Subsidies into Land Prices

2021 ◽  
Vol 13 (1) ◽  
Author(s):  
Pavel Ciaian ◽  
Edoardo Baldoni ◽  
d'Artis Kancs ◽  
Dušan Drabik
Keyword(s):  
Empirical Studies ◽  
Data Availability ◽  
Empirical Literature ◽  
Annual Review ◽  
Publication Date ◽  
Spatial Effects ◽  
Agricultural Subsidies ◽  
Decoupled Payments ◽  
Land Prices ◽  
Rural Market

We review the recent theoretical and empirical literature on the capitalization of agricultural subsidies into land prices. The theoretical literature predicts that agricultural subsidies are capitalized into land prices when land supply is inelastic and land markets function well. The share of capitalized subsidies significantly depends on the implementation of farm subsidies, local land-market institutions, rural market imperfections, and spatial effects. Most empirical studies have shown that agricultural subsidies are only partially capitalized into land prices, estimating that decoupled payments and land-based subsidies exhibit higher capitalization than coupled payments and nonland-based subsidies, respectively. However, estimated capitalization rates vary widely across studies largely because of data availability and identification challenges. Expected final online publication date for the Annual Review of Resource Economics, Volume 13 is October 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

Evolution of Mimicry Rings as a Window into Community Dynamics

2021 ◽  
Vol 52 (1) ◽  
Author(s):  
Krushnamegh Kunte ◽  
Athulya Girish Kizhakke ◽  
Viraj Nawge
Keyword(s):  
Species Interactions ◽  
Community Dynamics ◽  
Empirical Studies ◽  
Annual Review ◽  
Publication Date ◽  
Ecological Filtering ◽  
Selective Agents ◽  
Evolutionary Studies ◽  
Phylogenetic Framework ◽  
Key Aspects

Mimicry rings are communities of mimetic organisms that are excellent models for ecological and evolutionary studies because the community composition, the nature of the species interactions, the phenotypes under selection, and the selective agents are well characterized. Here, we review how regional and ecological filtering, density- and frequency-dependent selection, toxicity of prey, and age of mimicry rings shape their assembly. We synthesize findings from theoretical and empirical studies to generate the following hypotheses: ( a) the degree of unpalatability and age of mimicry rings increase mimicry ring size and ( b) the degree of unpalatability, generalization of the aposematic signal, and availability of alternative prey are positively related to the breadth of the protection umbrella for an aposematic signal and negatively related to the degree of mimetic resemblance. We also provide a phylogenetic framework in which key aspects of mimicry ring diversification may be studied. Expected final online publication date for the Annual Review of Ecology, Evolution, and Systematics, Volume 52 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

An Empirical Investigation Of The Persistence Of Stock And Bond Return Seasonality

2011 ◽  
Vol 16 (2) ◽  
Author(s):  
Angeline M. Lavin
Keyword(s):  
Stock Returns ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
Average Return ◽  
Bond Returns ◽  
Bond Return ◽  
The Government ◽  
Using Data ◽  
Return Seasonality

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: &quot;CG Times&quot;,&quot;serif&quot;;"><span style="font-size: x-small;">The purpose of this paper is to investigate the persistence of seasonality in stock and bond returns using data from 1926 to 1992. This study finds evidence of seasonality in stock returns during the 1926-92 period.<span style="mso-spacerun: yes;">&nbsp; </span>Dividing the data into sub-periods yields the following results: there was no evidence of stock market seasonality from 1926 to 1940, seasonality increased between 1941 and 1975 and then diminished slightly from 1976 to 1992. Specifically, the average January return was found to be significantly different than the average return in the other eleven months of the year.<span style="mso-spacerun: yes;">&nbsp; </span>Seasonality was found in the high-quality end of the corporate bond market during the 1966-78 period, but there was no evidence of seasonality in the government bond market. </span></span></p>

Dynamics of Ecological Communities Following Current Retreat of Glaciers

2021 ◽  
Vol 52 (1) ◽  
Author(s):  
Gentile Francesco Ficetola ◽  
Silvio Marta ◽  
Alessia Guerrieri ◽  
Mauro Gobbi ◽  
Roberto Ambrosini ◽  
...  
Keyword(s):  
Community Dynamics ◽  
Abiotic Factors ◽  
Empirical Studies ◽  
Experimental System ◽  
Theoretical Models ◽  
Glacier Retreat ◽  
Community Formation ◽  
Annual Review ◽  
Publication Date ◽  
Ecological Communities

Glaciers are retreating globally, and the resulting ice-free areas provide an experimental system for understanding species colonization patterns, community formation, and dynamics. The last several years have seen crucial advances in our understanding of biotic colonization after glacier retreats, resulting from the integration of methodological innovations and ecological theories. Recent empirical studies have demonstrated how multiple factors can speed up or slow down the velocity of colonization and have helped scientists develop theoretical models that describe spatiotemporal changes in community structure. There is a growing awareness of how different processes (e.g., time since glacier retreat, onset or interruption of surface processes, abiotic factors, dispersal, biotic interactions) interact to shape community formation and, ultimately, their functional structure through succession. Here, we examine how these studies address key theoretical questions about community dynamics and show how classical approaches are increasingly being combined with environmental DNA metabarcoding and functional trait analysis to document the formation of multitrophic communities, revolutionizing our understanding of the biotic processes that occur following glacier retreat. Expected final online publication date for the Annual Review of Ecology, Evolution, and Systematics, Volume 52 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

Animal Migration: An Overview of One of Nature's Great Spectacles

2021 ◽  
Vol 52 (1) ◽  
Author(s):  
Adam M. Fudickar ◽  
Alex E. Jahn ◽  
Ellen D. Ketterson
Keyword(s):  
Empirical Studies ◽  
First Century ◽  
Annual Review ◽  
Publication Date ◽  
Integrative Biology ◽  
Physiological Mechanisms ◽  
Technological Revolution ◽  
Current State ◽  
New Directions ◽  
Animal Migration

The twenty-first century has witnessed an explosion in research on animal migration, in large part due to a technological revolution in tracking and remote-sensing technologies, along with advances in genomics and integrative biology. We now have access to unprecedented amounts of data on when, where, and how animals migrate across various continents and oceans. Among the important advancements, recent studies have uncovered a surprising level of variation in migratory trajectories at the species and population levels with implications for both speciation and the conservation of migratory populations. At the organismal level, studies linking molecular and physiological mechanisms to traits that support migration have revealed a remarkable amount of seasonal flexibility in many migratory animals. Advancements in the theory for why animals migrate have resulted in promising new directions for empirical studies. We provide an overview of the current state of knowledge and promising future avenues of study. Expected final online publication date for the Annual Review of Ecology, Evolution, and Systematics, Volume 52 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

Evolution and Plasticity of Genome-Wide Meiotic Recombination Rates

2021 ◽  
Vol 55 (1) ◽  
Author(s):  
Ian R. Henderson ◽  
Kirsten Bomblies
Keyword(s):  
Chromosome Segregation ◽  
Meiotic Recombination ◽  
Recombination Rate ◽  
Empirical Studies ◽  
Annual Review ◽  
Publication Date ◽  
Recombination Rates ◽  
Homologous Chromosomes ◽  
Genome Wide ◽  
Mechanistic Basis

Sex, as well as meiotic recombination between homologous chromosomes, is nearly ubiquitous among eukaryotes. In those species that use it, recombination is important for chromosome segregation during gamete production, and thus for fertility. Strikingly, although in most species only one crossover event per chromosome is required to ensure proper segregation, recombination rates vary considerably above this minimum and show variation within and among species. However, whether this variation in recombination is adaptive or neutral and what might shape it remain unclear. Empirical studies and theory support the idea that recombination is generally beneficial but can also have costs. Here, we review variation in genome-wide recombination rates, explore what might cause this, and discuss what is known about its mechanistic basis. We end by discussing the environmental sensitivity of meiosis and recombination rates, how these features may relate to adaptation, and their implications for a broader understanding of recombination rate evolution. Expected final online publication date for the Annual Review of Genetics, Volume 55 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

scholarly journals Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns

2015 ◽  
Vol 05 (04) ◽  
pp. 1550021 ◽  
Author(s):  
Belén Nieto ◽  
Alfonso Novales ◽  
Gonzalo Rubio
Keyword(s):  
Low Frequency ◽  
Frequency Component ◽  
Corporate Bond ◽  
Financial Indicators ◽  
Short Term ◽  
Macroeconomic Conditions ◽  
Long Run ◽  
Bond Returns ◽  
Out Of Sample ◽  
Bond Return

In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.

Pathology in Relationships

2021 ◽  
Vol 17 (1) ◽  
Author(s):  
Susan C. South
Keyword(s):  
Romantic Relationships ◽  
Longitudinal Research ◽  
Modern Society ◽  
Annual Review ◽  
Publication Date ◽  
Cross Sectional ◽  
Relationship Distress ◽  
Efficacy Research ◽  
Diathesis Stress Model

Committed, long-term romantic relationships are ubiquitous among modern society. They are one of the most important contexts for the development, maintenance, and treatment of psychopathology. In this review, I first place psychopathology within the most commonly cited theoretical model of marital satisfaction and stability and then discuss how relationship satisfaction is conceptualized and assessed in this literature. In the second half of the review, I describe the theories regarding how romantic relationships may be connected to psychopathology. Relationship distress is easily incorporated into a diathesis–stress model as an important trigger for psychopathology. Next, I review cross-sectional research, longitudinal research, and treatment efficacy research linking relationship quality and psychopathology. I provide evidence for the robustness of these effects and areas where research must expand. I finish with a summary section that synthesizes what is known about the mechanisms linking relationship distress and psychopathology. Expected final online publication date for the Annual Review of Clinical Psychology, Volume 17 is May 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

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