The search for relative value in bonds |
| |
Authors: | Robin Grieves Steven V Mann |
| |
Institution: | 1.Rollins College,Crummer Graduate School of Business,Winter Park,USA;2.The Moore School of Business,University of South Carolina,Columbia,USA |
| |
Abstract: | Comparing asset swap spreads across bonds is a widely used tool for measuring relative value. This approach leads portfolio
managers to increase their risk exposure in ways that are not transparent. Credit default swaps are utilized to demonstrate
that viewing wide asset swaps as an indicator of relative value is a mirage. The paper documents the empirical regularities
in the term structure of credit spreads and spread volatilities that make this result possible. In addition, we present empirical
evidence of the imprint made on corporate bond returns by the widespread use of the asset swaps data. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|