• Out-of-Stock

A Review of Corporate Bond Indices: Assessing Fluctuations in Risk Exposures [extrait BMI 124]

Author :
€50.00
Tax included
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

This paper analyses indices for the US market and euro-denominated corporate bond market. First, we provide a review of the various applications of bond indices and associated challenges. We then analyse the risk-return properties of corporate bond indices, as well as heterogeneity across competing indices covering the same market. The descriptive statistics indicate that the risk-return properties across most indices are relatively similar. Moreover, an analysis of the stability of the indices? exposures to interest rate risk and credit risk reveals unstable risk exposures over time. Such instability is accentuated in indices that designed to be highly liquid and thus draw on a reduced constituent universe: the more investable the index is, the less reliable are its risk exposures. Finally, we find pronounced differences in credit and interest rate risk exposures between US and Euro indices. Overall, such differences in risk exposures, as well as their fluctuation over time, show that bond indices are implicit choices of risk exposures, and investors should consider carefully how such implicit risk choices interact with their explicit asset allocation choices.JEL Classification: G11Keywords: corporate bond indices, index construction, investment-grade bonds, risk exposure.

Auteurs :Badaoui Saad
Extrait de la revue BMI 124

BMI124-1114165
New

16 other products in the same category:

Availability: 100 In Stock

An Empirical Analysis of the Benefits of Inflation- Linked Bonds
A Review of Corporate Bond Indices
Managing Sovereign Credit Risk Exposure in a Global Equity Portfolio
Assessing Volatility Indicators: The Benefi t of Local Equity Volatility Indices
Liquidity in European Equity ETFs: What Really Matters?
Beneath the Sovereign Debt Iceberg

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Determinants of the Financial Performance of Major European Banks
  • Market Risk Measurement Models: Estimation of Volatility and Correlation
  • Stock Index Futures Dynamics : Evidence from France
  • Herding in French Stock Markets: Empirical Evidence from Equity Mutual Funds
  • Microfinance Institutions Ratings: The Influence of Board Characteristics
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Holder-Extendible Options with Modifiable Underlying-Assets
  • Transparency and Market Quality
  • CSR and Market Valuation
  • Explaining the Stock Market’s Reaction to Macroeconomic Announcements

Focus On

  • Rating Agencies and Financial Regulation : Thirty Years of Academic Research
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Do Institutional Investors Improve Stock Liquidity?
Changes in the Number of Reported Business Segments and Earnings Management
Ownership, Technical Effi ciency and Cost of Bad Loans: Evidence from the Tunisian Banking Industry
Strategic Management of Private Benefi ts in a Contingent Claim Framework
Bank capital and Risk-Taking: Old and New Perspectives from the Crisis

This website uses cookies to ensure you get the best experience on our website