Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Stanislava Nikolova"'
Autor:
Scott Murray, Stanislava Nikolova
Publikováno v:
Journal of Financial and Quantitative Analysis. 57:2177-2207
This article demonstrates that rating-based capital requirements, through their impact on insurers’ investment demand, affect corporate bond prices. Consistent with insurers’ low demand for investment-grade bonds with a rating close to noninvestm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dddb9e539a7f4391390888ff86085b83
https://doi.org/10.1017/s0022109021000132
https://doi.org/10.1017/s0022109021000132
Publikováno v:
The Review of Corporate Finance Studies. 10:347-401
We analyze an initiative by insurance regulators to reform capital regulations for mortgage-backed securities (MBS) by replacing credit ratings with third-party estimates of expected credit losses and by considering an insurer’s exposure to future
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::57029d86fc930db8e7b0bbb19d761fda
https://doi.org/10.1093/rcfs/cfaa007
https://doi.org/10.1093/rcfs/cfaa007
We examine whether fair value (FV) input levels and estimation sources are related to FV inflation, the difference between an insurer's FV estimate and the consensus FV estimate across the security's holders. FV inflation is higher, and self-estimati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0afddc285a2eca3d387c076d26a169fe
https://www.repository.cam.ac.uk/handle/1810/274430
https://www.repository.cam.ac.uk/handle/1810/274430
Publikováno v:
SSRN Electronic Journal.
Using 2002–2014 insurer transactions, we provide the first empirical evidence on underwriters’ allocation practices in the primary market for corporate bonds. Since bonds are often underpriced, allocations generate for investors an estimated $41
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef5a1913c45effff1649848d2553b679
https://doi.org/10.2139/ssrn.3181983
https://doi.org/10.2139/ssrn.3181983
Autor:
Scott Murray, Stanislava Nikolova
Publikováno v:
SSRN Electronic Journal.
This paper demonstrates that rating-based capital requirements, through their impact on insurers' investment demand, affect corporate bond prices. Consistent with insurers’ low demand for investment-grade (IG) bonds with a rating close to non-inves
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b215bf31681445249fb6b43fe22c5928
https://doi.org/10.2139/ssrn.2993558
https://doi.org/10.2139/ssrn.2993558
Publikováno v:
SSRN Electronic Journal.
We investigate whether firms strategically report Levels that indicate reliance on lower quality inputs to allow flexibility to bias fair value estimates, or higher quality inputs to convey better asset liquidity. Specifically, we examine the dispers
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aff5f5c903449b4c75df424d6b95e5da
https://doi.org/10.2139/ssrn.2889160
https://doi.org/10.2139/ssrn.2889160
Publikováno v:
Journal of Financial and Quantitative Analysis. 47:689-714
Bond credit spreads reflect the issuer’s expected default probability. In an efficient market, spreads will reflect both the issuer’s current risk and investors’ expectations about how that risk might change in the future. Collin-Dufresne and G
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81ea4f3d2399835ebe60ec5579e6b277
https://doi.org/10.1017/s0022109012000300
https://doi.org/10.1017/s0022109012000300
Publikováno v:
SSRN Electronic Journal.
To examine whether corporate credit risk is cheaper to trade in the bond or credit-default swap (CDS) market, we estimate individual roundtrip transaction costs for 851 CDSs traded during 2009-2014. Effective half-spreads are 14 bps of the notional a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2302022204a37ea68d0b7aa71480df08
https://doi.org/10.2139/ssrn.2532805
https://doi.org/10.2139/ssrn.2532805
Publikováno v:
SSRN Electronic Journal.
We analyze an initiative by insurance regulators to rethink the use of credit ratings in assessing capital adequacy. The new regulations replace ratings with potentially more precise third-party estimates of expected credit losses and take into consi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::36cf8de193d285042b720e6979beb3fd
https://doi.org/10.2139/ssrn.2357145
https://doi.org/10.2139/ssrn.2357145
Publikováno v:
SSRN Electronic Journal.
This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f57a3f40c7bb08b1252854ae871b45b
https://doi.org/10.2139/ssrn.1651853
https://doi.org/10.2139/ssrn.1651853