Persistence of Canadian Corporate and Government Index Yields and Yield Spreads

2012 ◽  
Author(s):  
Ilona Shiller
Keyword(s):  
Yield Spreads

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

Cash Flow Volatility and Corporate Bond Yield Spreads

2008 ◽  
Author(s):  
Kenneth R. Vetzal ◽  
Alan V. S. Douglas ◽  
Alan Guoming Huang
Keyword(s):  
Cash Flow ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield ◽  
Cash Flow Volatility

Internal Liquidity Risk in Corporate Bond Yield Spreads: Bond- and Market-Level Evidences

2009 ◽  
Author(s):  
Hsien-Hsing Liao ◽  
Tsung-Kang Chen ◽  
tsai pei-ling
Keyword(s):  
Liquidity Risk ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield

Predicting Simultaneous Severe Recessions Using Yield Spreads as Leading Indicators

2011 ◽  
Author(s):  
Charlotte Christiansen
Keyword(s):  
Leading Indicators ◽  
Yield Spreads

The Determinants of Thailand Bond Yield Spreads

2012 ◽  
Author(s):  
Wilaiporn Paisarn
Keyword(s):  
Yield Spreads ◽  
Bond Yield

Suppliers’/Customers’ Cash Holdings, Sources of Cash Flows, and Firm Bond Yield Spreads

2013 ◽  
Author(s):  
Tsung-Kang Chen ◽  
Hsien-Hsing Liao ◽  
Yi-Ting Lin
Keyword(s):  
Cash Holdings ◽  
Cash Flows ◽  
Yield Spreads ◽  
Bond Yield

High Yield Spreads, Real Economic Activity, and the Financial Accelerator

2013 ◽  
Author(s):  
Pierangelo De Pace ◽  
Kyle D. Weber
Keyword(s):  
Economic Activity ◽  
High Yield ◽  
Financial Accelerator ◽  
Yield Spreads

Factors of the Term Structure of Sovereign Yield Spreads

2015 ◽  
Author(s):  
Stefan Trrck
Keyword(s):  
Term Structure ◽  
Yield Spreads

Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market

2020 ◽  
Author(s):  
Jing-Zhi Jay Huang ◽  
Bibo Liu ◽  
Zhan Shi
Keyword(s):  
Short Term ◽  
Yield Spreads ◽  
Commercial Paper
Sign in / Sign up

Export Citation Format

Share Document