Markets
WHAT DRIVES CREDIT? Understanding the Cross Section of Expected Corporate Bond Returns (Part II)
DOWNLOAD THE SECOND PART HERE
Markets
WHAT DRIVES CREDIT? Understanding the Cross Section of Expected Corporate Bond Returns
Download PDF Abstract While the literature investigating risk premia driving the cross section of stock returns is extensive, fewer studies analyze corporate bond returns. We set out to understand which factors and firm characteristics command a premium in terms of expected returns on corporate bonds, both in the investment grade Read more…
Markets Old Articles Single Stocks Trade Ideas
Trade idea: multifractal volatility and Apple calendar spreads
Given the turbulence in the implied volatility observed in the aftermath of Apple’s Q1 results, we adopt a sophisticated quantitative model to better understand its dynamics. What we have observed so far in the option market is a large decrease in the 1-month implied volatility, and a sustained level of Read more…