Sökning: "Bond risk premia"

Hittade 4 uppsatser innehållade orden Bond risk premia.

  1. 1. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Adam Löfquist; Erik Ottosson; [2021]
    Nyckelord :Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

    Sammanfattning : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. LÄS MER

  3. 2. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Philip Hamnå; Federico Valenza; [2017]
    Nyckelord :Macroeconomic uncertainty; Bond risk premia; Countercyclical; Semi-variance;

    Sammanfattning : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. LÄS MER

  4. 3. A Floating Currency Macro Term Structure Model

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Niklas Lindeke; [2017]
    Nyckelord :Macro-finance; term structure models; exchange rate risks; Business and Economics;

    Sammanfattning : During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. LÄS MER

  5. 4. The Impact of Demographic and Socioeconomic Factors on Municipal Bond Coupon Rates

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Dimitri Yakupov; Karl Bokvist; [2016]
    Nyckelord :Municipal bonds; Demographic factors; Socioeconomic factors; Cost of debt; U.S. counties;

    Sammanfattning : This thesis aims to understand and explain if and how demographic and socioeconomic factors affect the cost of debt for local governments, namely U.S. counties when issuing municipal bonds. By first discussing potential factors that may prove significant to financial performance, correlation analysis and model testing are made. LÄS MER