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Journal of Risk and Financial Management, Volume 13, Issue 2

February 2020 - 21 articles

Cover Story: We find that variables such as economic policy uncertainty and stock market volatility are among the most important for bitcoin. We also trace strong evidence of bubbly bitcoin behavior, especially in the 2017–2018 period, as well as evidence that internet trends can expedite the creation and the burst of a bubble. We find a minor importance of FX markets and monetary policy, but a higher importance of traditional stock market returns. Commodity markets appear not to play a role, while the opposite holds for government bond yields. View this paper.

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3 Citations

8,277 Views

34 Pages

Credit Spreads, Business Conditions, and Expected Corporate Bond Returns

Hai Lin,
Xinyuan Tao,
Junbo Wang and
Chunchi Wu

J. Risk Financial Manag.2020, 13(2), 20;https://doi.org/10.3390/jrfm13020020

21 January 2020

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls....

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J. Risk Financial Manag. - ISSN 1911-8074

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