Matches in SemOpenAlex for { <https://semopenalex.org/work/W4382364467> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W4382364467 endingPage "106946" @default.
- W4382364467 startingPage "106946" @default.
- W4382364467 abstract "We find a strong and robust positive relationship between individual downside variance premia (DVP)–the difference between risk-neutral and physical expected downside variances–and future corporate bond returns. The spread portfolio that longs the high DVP bond portfolio and shorts the low DVP bond portfolio earns a statistically significant excess return of 0.37% (0.42%) per month in value- (equal-)weighted returns. The alpha estimates from various factor models remain statistically significant and economically substantial. The predictive power of the downside variance premium is stronger in noninvestment-grade (long-maturity) corporate bonds than in investment-grade (short-maturity) bonds. We show that the downside variance premium positively relates to the likelihood of future default and cash flow uncertainty and negatively relates to future cash flows." @default.
- W4382364467 created "2023-06-29" @default.
- W4382364467 creator A5025151836 @default.
- W4382364467 creator A5026244838 @default.
- W4382364467 creator A5058794430 @default.
- W4382364467 date "2023-09-01" @default.
- W4382364467 modified "2023-09-23" @default.
- W4382364467 title "Downside variance premium, firm fundamentals, and expected corporate bond returns" @default.
- W4382364467 cites W11897853 @default.
- W4382364467 cites W1963787328 @default.
- W4382364467 cites W1980661334 @default.
- W4382364467 cites W1995834279 @default.
- W4382364467 cites W2076011286 @default.
- W4382364467 cites W2104795328 @default.
- W4382364467 cites W2113305199 @default.
- W4382364467 cites W2117178635 @default.
- W4382364467 cites W2136120210 @default.
- W4382364467 cites W2141185104 @default.
- W4382364467 cites W2162009965 @default.
- W4382364467 cites W2808011186 @default.
- W4382364467 cites W2884597590 @default.
- W4382364467 cites W2927738715 @default.
- W4382364467 cites W3021190191 @default.
- W4382364467 cites W3022183057 @default.
- W4382364467 cites W3121239128 @default.
- W4382364467 cites W3121364726 @default.
- W4382364467 cites W3121401171 @default.
- W4382364467 cites W3121810651 @default.
- W4382364467 cites W3122390195 @default.
- W4382364467 cites W3122458556 @default.
- W4382364467 cites W3122639747 @default.
- W4382364467 cites W3122758356 @default.
- W4382364467 cites W3123097597 @default.
- W4382364467 cites W3123326583 @default.
- W4382364467 cites W3124202419 @default.
- W4382364467 cites W3124485385 @default.
- W4382364467 cites W3124925117 @default.
- W4382364467 cites W3125637821 @default.
- W4382364467 cites W3147257233 @default.
- W4382364467 cites W4233271516 @default.
- W4382364467 cites W4237239309 @default.
- W4382364467 cites W4244583600 @default.
- W4382364467 doi "https://doi.org/10.1016/j.jbankfin.2023.106946" @default.
- W4382364467 hasPublicationYear "2023" @default.
- W4382364467 type Work @default.
- W4382364467 citedByCount "1" @default.
- W4382364467 countsByYear W43823644672018 @default.
- W4382364467 crossrefType "journal-article" @default.
- W4382364467 hasAuthorship W4382364467A5025151836 @default.
- W4382364467 hasAuthorship W4382364467A5026244838 @default.
- W4382364467 hasAuthorship W4382364467A5058794430 @default.
- W4382364467 hasConcept C10138342 @default.
- W4382364467 hasConcept C101433766 @default.
- W4382364467 hasConcept C106159729 @default.
- W4382364467 hasConcept C121955636 @default.
- W4382364467 hasConcept C138496976 @default.
- W4382364467 hasConcept C149782125 @default.
- W4382364467 hasConcept C151541453 @default.
- W4382364467 hasConcept C15744967 @default.
- W4382364467 hasConcept C162324750 @default.
- W4382364467 hasConcept C163428354 @default.
- W4382364467 hasConcept C196083921 @default.
- W4382364467 hasConcept C2776719154 @default.
- W4382364467 hasConcept C2780821815 @default.
- W4382364467 hasConcept C2780999293 @default.
- W4382364467 hasConcept C69738904 @default.
- W4382364467 hasConceptScore W4382364467C10138342 @default.
- W4382364467 hasConceptScore W4382364467C101433766 @default.
- W4382364467 hasConceptScore W4382364467C106159729 @default.
- W4382364467 hasConceptScore W4382364467C121955636 @default.
- W4382364467 hasConceptScore W4382364467C138496976 @default.
- W4382364467 hasConceptScore W4382364467C149782125 @default.
- W4382364467 hasConceptScore W4382364467C151541453 @default.
- W4382364467 hasConceptScore W4382364467C15744967 @default.
- W4382364467 hasConceptScore W4382364467C162324750 @default.
- W4382364467 hasConceptScore W4382364467C163428354 @default.
- W4382364467 hasConceptScore W4382364467C196083921 @default.
- W4382364467 hasConceptScore W4382364467C2776719154 @default.
- W4382364467 hasConceptScore W4382364467C2780821815 @default.
- W4382364467 hasConceptScore W4382364467C2780999293 @default.
- W4382364467 hasConceptScore W4382364467C69738904 @default.
- W4382364467 hasLocation W43823644671 @default.
- W4382364467 hasOpenAccess W4382364467 @default.
- W4382364467 hasPrimaryLocation W43823644671 @default.
- W4382364467 hasRelatedWork W2036291122 @default.
- W4382364467 hasRelatedWork W2050315371 @default.
- W4382364467 hasRelatedWork W2129813805 @default.
- W4382364467 hasRelatedWork W2202274117 @default.
- W4382364467 hasRelatedWork W2560471421 @default.
- W4382364467 hasRelatedWork W2768153249 @default.
- W4382364467 hasRelatedWork W2806613710 @default.
- W4382364467 hasRelatedWork W3123395094 @default.
- W4382364467 hasRelatedWork W3125278312 @default.
- W4382364467 hasRelatedWork W4382364467 @default.
- W4382364467 hasVolume "154" @default.
- W4382364467 isParatext "false" @default.
- W4382364467 isRetracted "false" @default.
- W4382364467 workType "article" @default.