Aussenegg, Wolfgang and Chen, Louisa and Jelic, Ranko and Maringer, Dietmar. (2019) Time Varying Factors in the Performance of Corporate Bond Indices.
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Official URL: https://edoc.unibas.ch/73808/
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Abstract
We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The conditional response is particularly evident for the liquidity factor. We also compare models with different transition variables and identify key drivers of regime switches in the excess returns of sample bond indices.
| Faculties and Departments: | 06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Computational Economics and Finance (Maringer) |
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| UniBasel Contributors: | Maringer, Dietmar |
| Item Type: | Working Paper |
| Publisher: | SSRN |
| Number of Pages: | 62 |
| Note: | Publication type according to Uni Basel Research Database: Discussion paper / Internet publication |
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| Last Modified: | 22 Dec 2020 14:31 |
| Deposited On: | 22 Dec 2020 14:31 |
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