Научный семинар ЭФ МГУ: Алексей Иващенко (Swiss Finance Institute), «Credit spreads, daily business cycle, and corporate bond returns predictability»

Встреча общефакультетского научного семинара состоится в четверг, 6 апреля.

Алексей Иващенко (Swiss Finance Institute),  Credit spreads, daily business cycle, and corporate bond returns predictability

The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this nding. Once I project spreads on these two risk factors, which are readily measurable with the daily frequency, in addition to corporate credit risk, the forecasting power of the residual spread for economic activity goes away. Such residual, however, turns out to be an out-of-sample forecast of corporate bond market returns. An investment strategy based on such forecasts delivers risk-adjusted returns 50% higher than the corporate bond market.

Время: 19:00

Аудитория: а541

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06 апр 2017