GASB mandatory disclosure rules and municipal bond yield spreads
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0594-9
Abstract: The implementation of the Government Accounting Standards Board’s Statement 45 mandates disclosure of “other post-employment benefits” (OPEB) in a standardized format. The mandate provides an opportunity to analyze noninformation impacts of mandatory disclosures, as key… read more here.
Keywords: mandatory disclosure; yield spreads; disclosure rules; gasb mandatory ... See more keywords
The predictive strength of MBS yield spreads during asset bubbles
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00888-8
Abstract: We examine whether the predictive power of initial yield spreads of mortgage-backed securities (MBS) vary with the financial cycle. Using a cross-country sample of 4203 MBS, we find that initial yield spreads of MBS incorporate… read more here.
Keywords: initial yield; asset; predictive strength; yield spreads ... See more keywords
Convergence patterns in sovereign bond yield spreads : evidence from the Euro Area
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.03.002
Abstract: This study examines the convergence patterns of Euro Area (EA) 17 countries’ sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed… read more here.
Keywords: bond; yield spreads; sovereign bond; bond yield ... See more keywords
Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109018001515
Abstract: Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating… read more here.
Keywords: fire sale; yield spreads; sale risk; insurance companies ... See more keywords
Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
Sign Up to like & getrecommendations! Published in 2021 at "Statistical Modelling"
DOI: 10.1177/1471082x211022980
Abstract: A solution to the problem of having to deal with a large number of interrelated explanatory variables within a generalized additive model for location, scale and shape (GAMLSS) is given here using as an example… read more here.
Keywords: bond yield; gamlss; yield spreads; german government ... See more keywords
The Influence of ESG Performance on Yield Spreads: A Comparative Study of Sukuk and Conventional Bonds in Emerging Dual Financial Systems
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DOI: 10.3390/su17083547
Abstract: This study comparatively examines the determinants of yield spreads for Sukuk and conventional bonds, with a particular focus on the role of firms’ environmental, social, and governance (ESG) performance. Using a dataset comprising 744 bond-year… read more here.
Keywords: sukuk conventional; esg performance; yield spreads; conventional bonds ... See more keywords