国家风险的阴影:新兴市场公司债券的资产定价模型

IF 1.5 Q3 BUSINESS, FINANCE
Desislava Vladimirova
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引用次数: 0

摘要

我们研究了新兴市场(EM)公司债券的协方差,并利用包含主权和债券层面特征的工具主成分分析法(IPCA)提出了一个资产定价框架。我们的研究结果表明,新兴市场债券收益受特定国家风险的影响很大。纳入这些特征可以提高模型的总体拟合度和横截面拟合度。我们证明,与其他资产定价模型(如为发达市场(DM)债券设计的条件贝塔模型)相比,针对新兴市场的细微差别而定制的因子框架能产生每年 2% 的显著阿尔法收益率和更高的信息比率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

In the shadow of country risk: asset pricing model of emerging market corporate bonds

In the shadow of country risk: asset pricing model of emerging market corporate bonds

We examine the covariances of corporate bonds in emerging markets (EM) and present an asset pricing framework using instrumented principal component analysis (IPCA) that includes characteristics at the sovereign and bond levels. Our results indicate that EM bond returns are significantly influenced by country-specific risks. Incorporating these characteristics can improve both the total and cross-sectional model fit. We demonstrate that a factor framework tailored to the nuances of the EM universe generates a significant alpha of 2% per annum against the market and a higher information ratio than alternative asset pricing models, such as a conditional beta model designed for developed market (DM) bonds.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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