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Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013, coinciding with upward revisions to worst-case SLR projections and accompanying uncertainty around these projections. The effect is larger for long-maturity bonds and not solely driven by near-term flood risk. We use a structural model of credit risk to quantify the implied economic impact and distinguish between the effects of underlying asset values and of uncertainty. The SLR exposure premium exhibits a trend different from house prices and is unaffected by house price controls. Together, our results highlight the importance of climate uncertainty in driving municipal bond prices. Authors have furnished an Internet Appendix , which is available on the Oxford University Press Web site next to the link to the final published paper online [ABSTRACT FROM AUTHOR]

We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors). [ABSTRACT FROM AUTHOR]

Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician BE who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and BE are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of BE are explored in depth. Inconsistent with many models with belief dispersion, the relationship between professionals' yield disagreement and their matched disagreements about macroeconomic fundamentals is very weak. [ABSTRACT FROM AUTHOR]

The study was conducted with the view to test the impact of cash out flow from the Pakistan Prize Bond market to Gold and Silver markets as a result of the bonds' draw. The data from July 2007 to June 2019 was selected, which included Returns of Gold and Silver Markets. The data was tested with Event Study and AR, AAR & CAR were calculated. The results of AR & CAR did not endorse both the hypotheses on the basis that significant readings were found both in pre and post draw dates, to rule out any impact of cash flow from Prize Bond market into Gold and Silver markets. Whereas, AAR results were insignificant as such, hence fortifying the inference of rejection of both the hypotheses. So, both the hypotheses of having different returns on prize bond draw dates in Gold and Silver markets were not supported. Though the results were incongruent with the hypotheses, yet study outcomes as such are significant enough to propose regulators to contemplate legislations to fetch more funds from this comparatively cheaper source through enhanced documentation, which ultimately would make the economy more compliant. [ABSTRACT FROM AUTHOR]

In this study, using data from 46 markets and a 34-year time period, we examine the impact of the illiquidity of U.S. Treasuries on global asset valuation. We find that it predicts equity returns in both developed and emerging markets. This predictive relation remains intact after controlling for various world- and country-level variables. Asset pricing tests further reveal that bond illiquidity is a priced factor even in the presence of other conventional risks. Since the illiquidity of Treasuries is known to reflect monetary and macroeconomic shocks, our results suggest that it can be considered a proxy for aggregate worldwide risks. [ABSTRACT FROM PUBLISHER]

In this paper, a modified Black–Scholes (B–S) model is proposed, based on a revised assumption that the range of the underlying price varies within a finite zone, rather than being allowed to vary in a semi-infinite zone as presented in the classical B–S theory. This is motivated by the fact that the underlying price of any option can never reach infinity in reality; a trader may use our new formula to adjust the option price that he/she is willing to long or short. To develop this modified option pricing formula, we assume that a trader has a view on the realistic price range of a particular asset and the log-returns follow a truncated normal distribution within this price range. After a closed-form pricing formula for European call options has been successfully derived, some numerical experiments are conducted. To further demonstrate the meaning of the proposed model, empirical studies are carried out to compare the pricing performance of our model and that of the B–S model with real market data. [ABSTRACT FROM AUTHOR]

An increasingly important role is played by small and medium enterprises (SMEs) in our economy, so in order to broaden the market and seek more stable returns on the investments, commercial banks are bound to regard the SMEs' credit market as an importantly developing area. Bank is a special enterprise operating currency businesses, so it must be faced with various types of risks, particularly credit risk. Combined with unique characteristics of SMEs, the credit risk of SMEs is more difficult to control. There is no doubt that to enhance the credit risk management of SMEs will not only affect the banks' business performance and competitiveness, but also be related to the security of bank assets. In this paper, we investigate the multiple attribute decision making problems with picture fuzzy information. Then, we utilize induced OWG (IOWG) operator to develop picture fuzzy induced OWG (PFIOWG) operators. The prominent characteristic of this proposed operator are studied. And, we have utilized the PFIOWG to solve the picture fuzzy multiple attribute decision making problems. Finally, a practical example for evaluating the enterprise risk management is given. [ABSTRACT FROM AUTHOR]

Studies investigating the relation between risk and return occupy an important place in the discussion about the effectiveness of investing in real estate. A review of the available studies shows that real estate investments are less profitable than stocks, but in terms of risk and return, are usually the best option. This worldwide regularity may not necessarily be presented in Poland, as the Polish market is not fully fledged yet. The analysis presented in this article was performed with a view to reducing a research gap resulting from the lack of comprehensive Polish studies in this field. In the article, data spanning the years from 2006 to 2016 are examined by means of descriptive statistics, measures of risk, and the analysis of variance (ANOVA) to determine which of the following investment vehicles - bonds, real estate or stocks - offer the best risk-return ratio. The article has two parts. The analytical part is a review of studies on risk measurement methods and of earlier studies investigating risk and return by a class of assets (particularly real estate). In the empirical part, assets are compared with the use of statistical methods. The results of the risk-return analysis point to the money market as the best option for investors. Stocks and real estate ranked second and third, respectively. [ABSTRACT FROM AUTHOR]

The on-the-run phenomenon is regularly found in the bond markets. It refers to the phenomenon of the yield difference observed when a new bond issue comes to market from the same issuer and gets a better price (lower yield given equivalent duration) from the market than the older issue. This paper proposes and tests a liquidity model to explain phenomenon introducing entropy as our liquidity measure. The yield differential results from the illiquidity cost of the older issue that has increased as a result of progressing through stages, which typically occur in an entropy process. We find that a model employing an entropy measure largely explains the on-the-run phenomenon, by accounting for over three-quarters of the liquidity differential for on-the-run corporate bonds. [ABSTRACT FROM AUTHOR]

Both states that constituted the Austro-Hungarian Monarchy issued considerable amounts of perpetual bonds from the 1870s to World War I. These bonds constituted the greater part of the state debt, which was relatively larger in Hungary than in Austria. Movements in bond prices were not uniform for different kinds of securities such as gold bonds, paper bonds and bonds of the common debt of the pre-1867 era. Price movements and movements in the spread between Hungarian and Austrian bond yields followed a stochastic trend. Most fiscal factors such as the share of the state debt, and of state expenses, in GDP, the share of state consumption in overall state expenses, the relation between the debt service and the tax revenues, or the deficit in the state budget, had little or no impact. The conversion of debt instruments reveals a high degree of efficiency on the part of investors. Political crises affected relative price movements in the short run but were unimportant in the context of the middle- and long-term development. Throughout the period, Hungarian bonds as compared to Austrian bonds had lower prices in the Vienna Stock Exchange, suggesting a preference of Viennese investors for domestic securities independently from economic and political circumstances. [ABSTRACT FROM PUBLISHER]

We examine the value of Eastern European emerging bond markets to global fixed income managers. In an environment where bonds from traditional developed markets are offering modest yields, emerging market bonds with attractive yields are becoming more popular with institutional managers. Furthermore, the returns on these bonds exhibit low correlations with traditional fixed income investments and thus offer opportunities for portfolio diversification. We develop a multifactor forecasting model and estimate its parameters using a dynamic Kalman filter procedure. The forecasts are then used to construct optimal mean–variance portfolioswithandwithoutemerging market bonds. We find that the portfolios that include emerging market bonds have significantly higher Sharpe ratios. [ABSTRACT FROM AUTHOR]

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross-sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by market default spread. They are significantly different from, and often are closer to zero than, two-moment alphas (which ignore coskewness effects). [ABSTRACT FROM AUTHOR]

The article discusses research related to pricing relationship between the credit default swaps (CDS) and the bond market and its effects on the characteristics of corporate bonds and equity markets. Topics discussed include links between purchase of CDS to other methods of shorting credit risk, mispricing between the CDS and the equity market and use of CDS-bond basis as a measure of the non-default component of the bond yield.

This paper provides evidence that aggregate returns on commodity futures (without the returns on collateral) are predictable, both in-sample and out-of-sample, by various lagged variables from the stock market, bond market, macroeconomics, and the commodity market. Out of the 32 candidate predictors we consider, we find that investor sentiment is the best in-sample predictor of short-horizon returns, whereas the level and slope of the yield curve have much in-sample predictive power for long-horizon returns. We find that it is possible to forecast aggregate returns on commodity futures out-of-sample through several combination forecasts (the out-of-sample return forecasting R² is up to 1.65% at the monthly frequency). [ABSTRACT FROM AUTHOR]