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See detailA repeat-sales index for pricing US corporate bonds
Beaupain, Renaud; Heck, Stéphanie ULiege

in Finance (2016), 37(2), 75-117

In this paper we use a repeat-sales index methodology to construct US corporate bond price indices. Using several performance tests, we show that this methodology provides superior index estimates. In ... [more ▼]

In this paper we use a repeat-sales index methodology to construct US corporate bond price indices. Using several performance tests, we show that this methodology provides superior index estimates. In particular when assets trade at infrequent and irregular intervals the repeat-sales index is superior to taking an arithmetic price average. The methodology can readily be applied to any sub-sample of bonds based on a particular characteristic, such as the rating or the maturity. We further study the sensitivity of individual bond returns to systematic market risk as measured by a repeat-sales price index. Results indicate that variations in the price index are an important determinant of the time series and of the cross-sectional variation of corporate bond returns. [less ▲]

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See detailHedge Fund Market Risk Exposures: A Survey
Lambert, Marie ULiege

in Finance (2012), 33(1), 39-78

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See detailA Structural Balance Sheet Model of Sovereign Credit Risk
François, Pascal; Hübner, Georges ULiege; Sibille, Jean-Roch

in Finance (2011), 1(2), 293-321

This paper studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well ... [more ▼]

This paper studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well as for the financial guarantee are derived in a framework where recovery rate is endogenously determined as the solution of a strategic bargaining game. The approach allows to relate sovereign credit spreads to observable macroeconomic factors, and in particular accounts for contagion effects through the corporate and banking sectors. Pricing performance as well as predictions about credit spread determinants are successfully tested on the Brazilian economy. [less ▲]

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See detailInternal Capital Market Efficiency of Belgian Holding Companies
Gautier, Axel ULiege; Hamadi, Malika

in Finance (2005), 26(2), 11-34

In this paper, we raise the following two questions. (1) Do Belgian holding companies operate an internal capital market to transfer financial resources amongst their subsidiaries? And if yes, (2) is the ... [more ▼]

In this paper, we raise the following two questions. (1) Do Belgian holding companies operate an internal capital market to transfer financial resources amongst their subsidiaries? And if yes, (2) is the internal capital market efficient? To answer the first question, we check if group cash flow is a determinant of the group members investment spending. The answer is positive if the holding company’s subsidiary is affiliated to a coordination center and negative otherwise. To answer the second question, we evaluate if internal transfers are driven by efficiency. From our estimations, we cannot conclude that Belgian Holding companies have an efficient internal capital market. [less ▲]

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