Momentum Spillover from Stocks to Corporate Bonds

Article
  1. Poor
  2. Satisfactory
  3. Good
  4. Very Good
  5. Excellent

Be the first. (0 ratings)

CFA Digest
October 2017 | Vol. 47 | No. 10
Source: CFA Institute
Daniel Haesen, CFA Patrick Houweling Jeroen van Zundert, CFA
Sonia Gandhi, CFA (Reviewer)

Read

Summary

A stock–bond momentum spillover strategy exhibits strong structural and time-varying credit risk exposure that reduces the profitability of the strategy and produces large drawdowns. If companies are ranked on their firm-specific equity returns (i.e., residual momentum) instead of their total equity returns, the credit risk exposures are halved, the Sharpe ratio doubles, and the drawdowns are substantially reduced.

View more information

Topics
  • Equity Investments:
    • Equity Market Valuation and Return Analysis
  • Fixed Income:
    • Influence of Equity Market Changes on Bond Pricing
    • ·
    • Fixed Income Markets - Characteristics, Institutions, and Benchmarks
    • ·
    • Analysis of Credit Risk
Credits · About the CE Program
0 CE (including 0 SER) Manage CE Credits

People who viewed this page also viewed:

Online Course
Building a Financial Model in Excel
Corporate Finance Institute
Online Course
Updating Portfolio Management Skills
CFA Institute

Loading ...