{"title":"欧洲信贷的股票势头","authors":"Hendrik Kaufmann, Philip Messow","doi":"10.2139/ssrn.3436776","DOIUrl":null,"url":null,"abstract":"The authors investigate the phenomenon that past winners in the stock market are potential future winners in the European bond market. By using a data set of EUR-denominated bonds for the investment grade (IG) and high yield (HY) market since 2000, the authors show that the stock market leads the bond market as well as rating changes. The authors design long-only strategies with strong equity momentum exposure. A trading strategy based on these findings has an alpha of up to 1.77% (6.93%) in IG (HY). Firms with positive (negative) equity momentum have an improving (deteriorating) rating in the future. This leads to the conclusion that an underreaction of the bond market to the firm-specific information about changing default risk is a likely source of the spillover effect. TOPICS: Exchanges/markets/clearinghouses, fixed income and structured finance Key Findings • We find a strong positive relationship between equity momentum and future returns for EUR-denominated corporate bonds. • Our strategy leads to alphas up to 1.77% (6.93%) in investment grade (high yield). • Equity momentum is able to screen out bonds that are being downgraded within the next year.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"30 1","pages":"29 - 44"},"PeriodicalIF":0.0000,"publicationDate":"2019-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Equity Momentum in European Credits\",\"authors\":\"Hendrik Kaufmann, Philip Messow\",\"doi\":\"10.2139/ssrn.3436776\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The authors investigate the phenomenon that past winners in the stock market are potential future winners in the European bond market. By using a data set of EUR-denominated bonds for the investment grade (IG) and high yield (HY) market since 2000, the authors show that the stock market leads the bond market as well as rating changes. The authors design long-only strategies with strong equity momentum exposure. A trading strategy based on these findings has an alpha of up to 1.77% (6.93%) in IG (HY). Firms with positive (negative) equity momentum have an improving (deteriorating) rating in the future. This leads to the conclusion that an underreaction of the bond market to the firm-specific information about changing default risk is a likely source of the spillover effect. TOPICS: Exchanges/markets/clearinghouses, fixed income and structured finance Key Findings • We find a strong positive relationship between equity momentum and future returns for EUR-denominated corporate bonds. • Our strategy leads to alphas up to 1.77% (6.93%) in investment grade (high yield). • Equity momentum is able to screen out bonds that are being downgraded within the next year.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"30 1\",\"pages\":\"29 - 44\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-08-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3436776\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3436776","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The authors investigate the phenomenon that past winners in the stock market are potential future winners in the European bond market. By using a data set of EUR-denominated bonds for the investment grade (IG) and high yield (HY) market since 2000, the authors show that the stock market leads the bond market as well as rating changes. The authors design long-only strategies with strong equity momentum exposure. A trading strategy based on these findings has an alpha of up to 1.77% (6.93%) in IG (HY). Firms with positive (negative) equity momentum have an improving (deteriorating) rating in the future. This leads to the conclusion that an underreaction of the bond market to the firm-specific information about changing default risk is a likely source of the spillover effect. TOPICS: Exchanges/markets/clearinghouses, fixed income and structured finance Key Findings • We find a strong positive relationship between equity momentum and future returns for EUR-denominated corporate bonds. • Our strategy leads to alphas up to 1.77% (6.93%) in investment grade (high yield). • Equity momentum is able to screen out bonds that are being downgraded within the next year.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.