The growing importance of SRI in the investment arena has resulted in considerable
academic interest in the performance of socially responsible equity mutual funds …

High-yield bonds hold a particularly unique space in the debt market. From many aspects,
literature suggests these assets to behave more like stocks than bonds. Given the significant …

The essential premise of this book is that theory and practice are equally important in
describing financial modeling. In it the authors try to strike a balance in their discussions …

This paper hypothesizes that the special role of banks as corporate quasi-insiders has been
changing due to developments in informational, legal and institutional infrastructures of …

This contribution offers an explanation of credit derivatives as a group of financial
instruments having a common purpose being the managing of credit exposures, and thus …

This paper can be considered as a new perspective to analyse credit spreads. We follow a
time-series approach revealing the forces driving credit spread changes and volatility …

This paper investigates factors that can explain the dynamics of yield premia on seasoned
high yield bonds of shipping companies. Our analysis utilises 40 seasoned high yield bonds …

This paper is one of the first to examine the empirical determinants of credit spread changes
on corporate bonds in the Australian market. Eight different credit spread changes are …

We examine the presence, magnitude and determinants of a January effect for individual
corporate bonds. Our results provide empirical evidence of positive and statistically (but not …

In this paper we investigate the short-term credit spread dynamics of quality US corporate
bonds, building on the Longstaff and Schwartz (1995) two-factor model. We find that …