High-yield bond default and call risks

Article Abstract:

A study of the conditions leading to high-yield bond defaults and call behavior was conducted. The investigation utilized a competing risk hazard model that simultaneously computes the effect of issue-specific attributes, the prevailing business conditions and bond age. The results indicate the existence of nonmonotonic aging effects. These include an increase in default rates followed by a decline while call rates increase and then taper off. Defaults are likely during worsening economic conditions with no sign of recovery.

Security brokers and dealers, Securities Brokerage, Securities Trading, Methods, Analysis, Bonds, Bonds (Securities), Financial analysis, Default (Finance)

---

An investigation of the risk and return relation at long horizons

Article Abstract:

A study of the projected returns on stocks and their conditional volatility over time and the varying state of the nation's economy is conducted. Monte Carlo integration and seminonparametric density estimation were the methodologies used to obtain the results. The findings indicate the presence of a substantial positive risk in terms of return for long-term holding periods of one or two years. The negative risks described in the literature are shown to be due to possible misspecification.

Usage, Stocks, Monte Carlo method, Monte Carlo methods

---

Hedging winner's curse with multiple bids: evidence from the Portuguese treasury bill auction

Article Abstract:

The use of multiple bidding techniques to adjust for the effect of winner's curse is analyzed using bidding information from treasury bill auctions conducted in Portugal. The hypothesis states that a bidder submits a larger number of bids with widely dispersed bidding amounts when there is a high probability for winner's curse. The practice is further encouraged by an increased volatility in the interest rates and the number of participating well-informed bidders.

Portugal, Government securities, Auctions, Treasury securities, Treasury market

Similar abstracts:

• Abstracts: Equilibrium in an exchange economy with multiple indivisible commodities and money
• Abstracts: Modelling and forecasting time series with a general non-normal distribution. Forecasting with k-factor Gegenbauer processes: theory and applications
• Abstracts: Bargaining set and anonymous core without the monotonicity assumption. Endogenous collateral
• Abstracts: Distributional dominance with trimmed data. New evidence on price anomalies in sequential auctions: used cars in New Jersey
• Abstracts: Firm size and the nature of innovation within industries: the case of process and product R&D. The objective function of simulation estimators near the boundary of the unstable region of the parameter space

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.