Essays about: "Corporate Bonds Spreads"

Showing result 1 - 5 of 13 essays containing the words Corporate Bonds Spreads.

  1. 1. Forecasting High Yield Corporate Bond Industry Excess Return

    University essay from KTH/Matematisk statistik

    Author : Carlos Junior Lopez Vydrin; [2018]
    Keywords : ;

    Abstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE

  2. 2. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 3. The Effect of Monetary Policy on the European Corporate Bond Market - Evidence from the yield and credit spread curve term structure

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ida Marta Metsis; Laura Lindberg; [2017]
    Keywords : Monetary policy; Corporate bonds; Interest rate; Quantitative easing; Yield curve;

    Abstract : This paper examines the effect of monetary policy mechanisms used by the European Central Bank on the euro-denominated corporate bond market. The focus of the paper is to analyse the impact of the central bank set interest rate for main refinancing operations (MRO) and two of the recent quantitative easing programmes - Public Sector Purchase Programme and Corporate Sector Purchase Programme - on the entire corporate yield curve. READ MORE

  4. 4. The visible hand of the central bank: Evidence from the ECB's Corporate Sector Purchase Program

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Hampus Persson; Nina Lundén; [2017]
    Keywords : Central bank supply shocks; unconventional monetary policy; asset purchase programs; corporate credit spreads;

    Abstract : On March 10, 2016 the ECB surprised financial markets by announcing the latest measure taken under its unconventional asset purchase programs, the CSPP. Through this program the ECB is purchasing corporate bonds and aims to support bond valuations through supply shocks. READ MORE

  5. 5. Corporate Bond Yield Spreads: A Search-based Sentiment Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Pettersson; Christoffer Sjöström; [2016]
    Keywords : Investor sentiment; Corporate bonds; Yield spreads; Mispricing; Reversal trends;

    Abstract : This study examines the effect of investor sentiment, as measured by internet search activity, on corporate bond yield spreads. Specifically, we predict systematic reversal patterns as a result of sentiment-induced mispricing: In pessimistic regimes bonds appear underpriced with higher yields than indicated by fundamental values. READ MORE