Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Jennie Bai"'
Publikováno v:
Journal of Finance and Data Science, Vol 9, Iss , Pp 100098- (2023)
Chengtou bond is the only asset with market prices that can capture the funding cost of Chinese local government debt. In contrast to the U.S. municipal bonds, Chengtou bonds are issued by private corporations but implicitly guaranteed by local and t
Externí odkaz:
https://doaj.org/article/2c1e168b656c45eca07251f108ff6321
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1b826f445b7afbcc86f90d419b6a67aa
https://doi.org/10.2139/ssrn.4343095
https://doi.org/10.2139/ssrn.4343095
Publikováno v:
Journal of Financial Economics. 142:1017-1037
We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b59e460e6a503ab22f7bb02b7db2bdd
https://doi.org/10.1016/j.jfineco.2021.05.003
https://doi.org/10.1016/j.jfineco.2021.05.003
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:2689-2719
The securities lending market for government bonds is an active short-term funding market which not only facilitates repo and cash markets, but also plays a unique role in transforming collateral from low-quality into high-quality liquid assets. We p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cec4fc00451c606156ae74a833df7ba4
https://doi.org/10.1017/s0022109020000770
https://doi.org/10.1017/s0022109020000770
Publikováno v:
Journal of Financial Economics. 137:297-319
We revisit Feldhutter and Schaefer (FS, 2018), who report evidence of a “credit spread puzzle” for high-yield but not investment-grade bonds. We show their results are reversed when their model is calibrated to market values of debt (as required
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d6f83d1fedb94dd4f66c1402a2d4b514
https://doi.org/10.1016/j.jfineco.2020.02.009
https://doi.org/10.1016/j.jfineco.2020.02.009
Publikováno v:
Journal of Financial Economics. 131:619-642
We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dadc41e43c5fcb8e0505ddd2d2ab37e9
https://doi.org/10.1016/j.jfineco.2018.08.002
https://doi.org/10.1016/j.jfineco.2018.08.002
Publikováno v:
Journal of Financial Economics. 131:186-205
Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::21f282c24070894cc657f5f4e99a3c0d
https://doi.org/10.1016/j.jfineco.2018.07.015
https://doi.org/10.1016/j.jfineco.2018.07.015
Autor:
Jennie Bai, Massimo Massa
Publikováno v:
SSRN Electronic Journal.
We study the degree of information substitutability in the financial markets; in particular, we focus on the COVID pandemic that has made people’s interaction far more difficult. Exploiting both the cross-sectional and time-series variations induce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab94267944df756cc40fdb393c613c77
https://doi.org/10.2139/ssrn.3843782
https://doi.org/10.2139/ssrn.3843782