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.

scholarly journals Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1732
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Exchange Rate ◽  
Asset Pricing ◽  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
Downside Risk ◽  
Total Risk ◽  
Pricing Framework

This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and exchange rate have significant impacts on oil and gas stock returns, but effects are heterogeneous depending on an individual stock. The two-stage cross-section estimations provide new insights about investors’ risk-return trade-off when facing downside risks. The results show that downside risk exposures to market, momentum, oil, and exchange rate factors are negatively priced in the Malaysian oil and gas stocks. This implies that investors are penalized for their downside exposure to these risk factors, and such inference is consistent with the risk preference explanation of prospect theory. Liquefied natural gas (LNG) is the only risk factor found to be positively priced in the returns of oil and gas stocks. Additionally, we find a negative relationship between LNG factor and total risk. This suggests that as the risk exposure to LNG increases, the total risk decreases, implying that the LNG risk factor is an idiosyncratic risk and not a systematic risk factor. Such interpretation is consistent with the correlation result, which shows no association between LNG and the market risk factor.

Liquidity and real estate asset pricing: a pan-European study

2014 ◽  
Vol 7 (1) ◽  
pp. 59-86 ◽  
Author(s):  
Alexander Scholz ◽  
Stephan Lang ◽  
Wolfgang Schaefers
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Real Estate ◽  
Stock Returns ◽  
Systematic Risk ◽  
Time Series Regression ◽  
Content Type ◽  
Market Factors ◽  
The Impact

Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results indicate that liquidity is a significant pricing factor in real estate stock returns, even after controlling for market, size and book-to-market factors. In addition, the authors detect that real estate stock returns load predominantly positively on the liquidity risk factor, suggesting that real estate equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European real estate stock returns. Research limitations/implications – The inclusion of sentiment and downside risk factors could provide further insights into real estate asset pricing in European capital markets. Originality/value – This is the first study to examine the role of liquidity as a systematic risk factor in a pan-European setting.

scholarly journals Investor sentiment and the time-varying sustainability premium

2021 ◽  
Author(s):  
Vitor Azevedo ◽  
Christoph Kaserer ◽  
Lucila M. S. Campos
Keyword(s):  
High Intensity ◽  
Abnormal Returns ◽  
Investor Sentiment ◽  
Principal Component ◽  
Expected Returns ◽  
Time Varying ◽  
Social Variables ◽  
Pricing Factors ◽  
Return Difference ◽  
Corporate Social

AbstractStudies show the inconclusive results regarding the relation between corporate social and environmental responsibility (CSR and CER) and expected returns. We argue that the reason for these mixed results is that the sustainability premium (i.e., the return difference of high-intensity minus low-intensity CSR/CER firms) is time-varying and correlated with investor sentiment. We find that high-intensity CSR (CER) firms have a monthly excess return that is 0.70 (0.88) p.p. higher following periods of low investor sentiment as compared to periods of high sentiment. Given that standard pricing factors cannot fully explain the abnormal returns caused by investor sentiment on the sustainability premium, we propose a sustainability pricing factor, estimated as the second principal component of portfolios sorted based on environmental and social variables, which corrects this mispricing.

Abstract P552: The Role of Traditional Risk Factors in Mediating the Influence of Cumulative Social Risk Exposure on Cardiovascular Death

Circulation ◽  
2020 ◽  
Vol 141 (Suppl_1) ◽  
Author(s):  
Wei Zhang ◽  
Muhammad Imtiaz Ahmad ◽  
Elsayed Z SOLIMAN
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Risk Score ◽  
Risk Exposure ◽  
Social Risk ◽  
Cvd Risk Factors ◽  
Cvd Risk ◽  
Obesity And Diabetes ◽  
Social Risk Factor

Introduction: Cumulative social risk exposure, defined as experiencing more than one social risk factor and captured through an index of cumulative social risk, is associated with a significant increase in cardiovascular disease (CVD) mortality. However, the role of CVD risk factors in explaining this association is unclear. Methods: This analysis included 15,906 participants (45.6±19.5 years, 53.4% women, 57.7% minority race) from the Third National Health and Nutrition Examination Survey (NHANES-III) who were CVD-free at enrollment. Baseline social risk factors (minority race, poverty-income ratio<1, education<12 grade, and living single) were used to create a cumulative social risk score (0 to ≥3). The mediation by each CVD risk factor was assessed by estimating the magnitude of attenuation in the hazard ratio for the association between social risk score and CVD death adjusted by demographics and risk factors. Results: During a median follow up of 14 years, 1,309 CVD deaths occurred. Participants with more than one social risk factor were at increased risk of CVD death (Table) . The risk of CVD death in demographic adjusted models was attenuated by 31%, 21% and 36% in people with social risk score 1, 2, and ≥3 versus 0, respectively, after further adjustment for traditional CVD risk factors. Among all CVD risk factors included in the analysis, current smoking was the most powerful mediating effect, accounting for approximately one half of the combined risk factor effect, followed by obesity and diabetes ( Table ). Conclusions: Traditional CVD risk factors explain about one third of the association between cumulative social risk exposure and CVD death. While these findings underscore the importance of management of traditional CVD risk factors, particularly smoking, in socially disadvantaged population, they call for further studies to identify other pathways that explain the link between social risk exposure and CVD.

scholarly journals Non-Arteritic Anterior Ischaemic Optic Neuropathy: Treatment and Risk Factors

2020 ◽  
Vol 76 (2) ◽  
pp. 78-87
Author(s):  
Silvie Kalábová ◽  
Klára Marešová ◽  
Marta Karhanová
Keyword(s):  
Diabetes Mellitus ◽  
Risk Factors ◽  
Visual Acuity ◽  
Risk Factor ◽  
Optic Neuropathy ◽  
Systemic Risk ◽  
Systemic Disease ◽  
Department Of Ophthalmology ◽  
Ischaemic Optic Neuropathy ◽  
Anterior Ischaemic Optic Neuropathy

Aim: To ascertain whether various therapeutic procedures in non-arteritic anterior ischaemic optic neuropathy (NAION) have an impact on the resulting visual acuity of the affected eye. To assess the prevalence of risk factors that accompany this disease according to the literature. Methods: The retrospective study enrolled 55 eyes of 53 patients (41 men, 12 women) with an age range of 46 to 85 years (mean 64.9; median 64.0) who were hospitalized at the Department of Ophthalmology of the Faculty of Medicine and Dentistry and the University Hospital in Olomouc with the diagnosis of NAION between 2005 and 2016, and who received systemic treatment with intravenous vasodilators, either alone or in combination with intravenous corticosteroids. Central visual acuity (CVA) prior to treatment and immediately after its termination was evaluated. CVA was measured using the Snellen chart and is presented in decimal values. Using medical history data and medical records, the presence of systemic disease, namely hypertension, type 2 diabetes mellitus, and hypercholesterolaemia, was studied in these patients and evaluated for a possible association with NAION. Results: In the group of patients who were treated with intravenous vasodilators, the resulting CVA improved by 0.083 on average. In the group of patients who, in addition to vasodilator therapy, also received treatment with corticosteroids, the resulting CVA improved by only 0.03 on average. Although there was a more prominent improvement in CVA in the group treated with intravenous vasodilators alone, this difference was not statistically significant. At least one risk factor was found in the vast majority of the patients (96%). Eighty percent of the patients had hypertension, 43.6% of them were treated for diabetes mellitus, and 72.7% of the patients took drugs for hypercholesterolaemia. A combination of all these conditions was found in 36.4% of the patients. The proportion of smokers and past smokers did not exceed that of non-smokers. Conclusion: The mean improvement in the resulting CVA in patients after systemic therapy with vasodilators alone was greater than in those treated with a combination of vasodilators and corticosteroids; however, this difference was not statistically significant. In most patients in the group, at least one systemic risk factor was noted, most frequently hypertension. The prevalence rate of systemic risk factors was comparable to that reported in the literature.

scholarly journals Expected returns, yield spreads, and asset pricing tests

2008 ◽  
Vol 21 (3) ◽  
pp. 1297-1338 ◽  
Author(s):  
Murillo Campello ◽  
Long Chen ◽  
Lu Zhang
Keyword(s):  
Asset Pricing ◽  
Expected Returns ◽  
Yield Spreads ◽  
Asset Pricing Tests

scholarly journals The Effects of the Illiquidity Premium on Security Returns and its Importantance for Eurasia

2011 ◽  
Author(s):  
Serdar Kuzu
Keyword(s):  
Risk Factors ◽  
Asset Pricing ◽  
Interest Rates ◽  
Term Structure ◽  
Financial Market ◽  
Development Process ◽  
Corporate Bonds ◽  
International Markets ◽  
Market Makers ◽  
Expectation Theory

This study investigates the illiquidity premium, which has major impact on Eurasian economies, and its term structure. For this aim, The Germany which is very important for Europa and Asia countries is investigated. In this study, the effects of the term structure of the illiquidity premium on government and corporate bonds and “the return of securities – illiquidity premium – expectation theory relationship” are investigated through various parameters and formulations. Consequently, the study is used to Kempf, Korn and Uhrig-Homburg’ study, which aims to investigate relations between German public sector’s bonds and private sector’s bonds and it was realized 2009. It is found that illiquidity premium varies in short, medium and long terms depending upon different factors and the curve that connects illiquidity premiums with different terms is a U shaped curve. Studies that use traditional methods in asset pricing evaluate the illiquidity premium as a systematic risk criteria. But, illiquidity is a risk factor that should be investigated alone instead of be investigated with all of the risk factors. Financial market makers aim to make arrangements that remove the problems arising from the level of liquidity, in other words increase the level of liquidity, and contribute to the formation of efficient price.Further studies in this field will be very important in the development process of corporate bonds market with the decrease of interest rates in international markets and the issue of new corporate bonds in developing countries recently.

Hemmkörperentwicklung bei Hämophilie-Patienten nach Präparate wechsel

2012 ◽  
Vol 32 (S 01) ◽  
pp. S39-S42 ◽  
Author(s):  
S. Kocher ◽  
G. Asmelash ◽  
V. Makki ◽  
S. Müller ◽  
S. Krekeler ◽  
...  
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Observational Study ◽  
Retrospective Observational Study ◽  
Frequent Change ◽  
Patient Age ◽  
Treatment Regimens ◽  
Patient Âgé ◽  
The Relationship ◽  
Observation Period

SummaryThe retrospective observational study surveys the relationship between development of inhibitors in the treatment of haemophilia patients and risk factors such as changing FVIII products. A total of 119 patients were included in this study, 198 changes of FVIII products were evaluated. Results: During the observation period of 12 months none of the patients developed an inhibitor, which was temporally associated with a change of FVIII products. A frequent change of FVIII products didn’t lead to an increase in inhibitor risk. The change between plasmatic and recombinant preparations could not be confirmed as a risk factor. Furthermore, no correlation between treatment regimens, severity, patient age and comorbidities of the patients could be found.

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