A common risk factor and the correlation between equity and corporate bond returns
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
http://link.springer.com/content/pdf/10.1057/s41260-020-00151-8.pdf
Reference43 articles.
1. Anderson, R., and S. Sundaresan. 2000. A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation. Journal of Banking & Finance 24(1/2): 255.
2. Ang, A., and J. Chen. 2002. Asymmetric Correlations of Equity Portfolios. Journal of Financial Economics 63(3): 443–494.
3. Baker, M., and J. Wurgler. 2006. Investor Sentiment and the Cross-section of Stock Returns. Journal of Finance 61(4): 1645–1680.
4. Barro, R.J. 2006. Rare Disasters and Asset Markets in the Twentieth Century. The Quarterly Journal of Economics 121(3): 823–866.
5. Bekaert, G., and G. Wu. 2000. Asymmetric Volatility and Risk in Equity Markets. The Review of Financial Studies 13(1): 1–42.
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