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Keywords = bond excess return

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23 pages, 2360 KiB  
Article
Synergistic Effects of Furfurylated Natural Fibers and Nanoclays on the Properties of Fiber–Cement Composites
by Thamires Alves da Silveira, Felipe Vahl Ribeiro, Cristian Conceição Gomes, Arthur Behenck Aramburu, Sandro Campos Amico, André Luiz Missio and Rafael de Avila Delucis
Ceramics 2025, 8(2), 68; https://doi.org/10.3390/ceramics8020068 - 3 Jun 2025
Viewed by 586
Abstract
Fiber–cement composites have been increasingly studied for sustainable construction applications, but durability issues—particularly fiber degradation in alkaline environments—remain a challenge. This study aimed to evaluate the individual and combined effects of furfurylated sisal fibers and nanoclay additions on the physical and mechanical performance [...] Read more.
Fiber–cement composites have been increasingly studied for sustainable construction applications, but durability issues—particularly fiber degradation in alkaline environments—remain a challenge. This study aimed to evaluate the individual and combined effects of furfurylated sisal fibers and nanoclay additions on the physical and mechanical performance of autoclaved fiber–cement composites, seeking to enhance fiber durability and matrix compatibility. All the composites were formulated with CPV-ARI cement and partially replaced with agricultural limestone to reduce the environmental impact and production costs. Sisal fibers (2 wt.%) were chemically modified using furfuryl alcohol, and nanoclays—both hydrophilic and surface-functionalized—were incorporated at 1% and 5% of cement weight. The composites were characterized for physical properties (density, water absorption, and apparent porosity) and mechanical performance (flexural and compressive strength, toughness, and modulus). Furfurylation significantly improved fiber–matrix interaction, leading to higher flexural strength and up to 100% gain in toughness. Nanoclay additions reduced porosity and increased stiffness, particularly at 5%, though excessive content showed diminishing returns. The combination of furfurylated fibers and functionalized nanoclay provided the best results in maintaining a compact microstructure, reducing water absorption, and improving mechanical resilience. Optical microscopy confirmed improved fiber dispersion and interfacial bonding in composites containing furfurylated fibers and functionalized nanoclay. These findings highlight the effectiveness of integrating surface-treated natural fibers with pozzolanic additives to enhance the performance and longevity of fiber–cement composites. Full article
(This article belongs to the Special Issue Ceramics in the Circular Economy for a Sustainable World)
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22 pages, 1389 KiB  
Article
Effect of Market-Wide Investor Sentiment on South African Government Bond Indices of Varying Maturities under Changing Market Conditions
by Fabian Moodley, Sune Ferreira-Schenk and Kago Matlhaku
Economies 2024, 12(10), 265; https://doi.org/10.3390/economies12100265 - 27 Sep 2024
Cited by 4 | Viewed by 2066
Abstract
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide investor sentiment on government bond index returns [...] Read more.
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide investor sentiment on government bond index returns of varying maturities under changing market conditions. This study constructs a new market-wide investor sentiment index for South Africa and uses the two-state Markov regime-switching model for the sample period 2007/03 to 2024/01. The findings illustrate that the effect investor sentiment has on government bond indices returns of varying maturities is regime-specific and time-varying. For instance, the 1–3-year government index return and the over-12-year government bond index were negatively affected by investor sentiment in a bull market condition and not in a bear market condition. Moreover, the bullish market condition prevailed among the returns of selected government bond indices of varying maturities. The findings suggest that the government bond market is adaptive, as proposed by AMH, and contains alternating efficiencies. The study contributes to the emerging market literature, which is limited. That being said, it uses market-wide investor sentiment as a tool to make pronunciations on asset selection, portfolio formulation, and portfolio diversification, which assists in limiting investor losses. Moreover, the findings of the study contribute to settling the debate surrounding the efficiency of bond markets and the effect between market-wide sentiment and bond index returns in South Africa. That being said, it is nonlinear, which is a better modelled using nonlinear models and alternates with market conditions, making the government bond market adaptive. Full article
(This article belongs to the Special Issue Efficiency and Anomalies in Emerging Stock Markets)
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22 pages, 707 KiB  
Article
Using the Capital Asset Pricing Model and the Fama–French Three-Factor and Five-Factor Models to Manage Stock and Bond Portfolios: Evidence from Timor-Leste
by Fernando Anuno, Mara Madaleno and Elisabete Vieira
J. Risk Financial Manag. 2023, 16(11), 480; https://doi.org/10.3390/jrfm16110480 - 12 Nov 2023
Cited by 6 | Viewed by 8761
Abstract
Timor-Leste is a new country still in the process of economic development and does not yet have a capital market for stock and bond investments. These two asset classes have been invested in international capital markets such as the US, the UK, Japan, [...] Read more.
Timor-Leste is a new country still in the process of economic development and does not yet have a capital market for stock and bond investments. These two asset classes have been invested in international capital markets such as the US, the UK, Japan, and Europe. We examine the performance of the capital asset pricing model (CAPM) and the Fama–French three-factor and five-factor models on the excess returns of Timor-Leste’s equity and bond investments in the international market over the period 2006 to 2019. Our empirical results show that the market factor (MKT) is positively and significantly associated with the excess returns of the CAPM and the Fama–French three-factor and five-factor models. Moreover, the two variables Small Minus Big (SMB) as a size factor and High Minus Low (HML) as a value factor have a negative and significant effect on the excess returns in the Fama–French three-factor model and five-factor model. Further analysis revealed that the explanatory power of the Fama–French five-factor model is that the Robust Minus Weak (RMW) factor as a profitability factor is positively and significantly associated with excess returns, while the Conservative Minus Aggressive (CMA) factor as an investment factor is insignificant. Full article
(This article belongs to the Special Issue Featured Papers in Mathematics and Finance)
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19 pages, 1812 KiB  
Article
Pricing Multi-Event-Triggered Catastrophe Bonds Based on a Copula–POT Model
by Yifan Tang, Conghua Wen, Chengxiu Ling and Yuqing Zhang
Risks 2023, 11(8), 151; https://doi.org/10.3390/risks11080151 - 18 Aug 2023
Cited by 6 | Viewed by 3043
Abstract
The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an extreme [...] Read more.
The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an extreme dependence structure. Due to the bond’s low cashflow contingencies and the CAT bond’s high return, the multiple-event CAT bond may successfully transfer the catastrophe risk to the huge financial markets to meet the diversification of capital allocations for most potential investors. The designed hybrid trigger mechanism helps reduce the moral hazard and increase the bond’s attractiveness with a lower trigger likelihood, displaying the determinants of the wiped-off coupon and principal by both the magnitude and intensity of the natural disaster events involved. As the trigger indicators resulting from the potential catastrophic disaster might be associated with heavy-tailed margins, nested Archimedean copulas are introduced with marginal distributions modeled by a POT-GP distribution for excess data and common parametric models for moderate risks. To illustrate our theoretical pricing framework, we conduct an empirical analysis of pricing a three-event rainstorm CAT bond based on the resulting losses due to rainstorms in China during 2006–2020. Monte Carlo simulations are carried out to analyze the sensitivity of the rainstorm CAT bond price in trigger attachment levels, maturity date, catastrophe intensity, and numbers of trigger indicators. Full article
(This article belongs to the Special Issue Catastrophe Risk and Insurance)
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13 pages, 1237 KiB  
Article
Carry Trade and Capital Market Returns in South Africa
by Lumengo Bonga-Bonga and Sefora Motena Rangoanana
J. Risk Financial Manag. 2022, 15(11), 498; https://doi.org/10.3390/jrfm15110498 - 27 Oct 2022
Cited by 2 | Viewed by 2733
Abstract
This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries. A two- and three-factor capital asset pricing [...] Read more.
This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries. A two- and three-factor capital asset pricing model (CAPM) is employed to assess whether the pricing of equity and bond markets in South Africa depends on the US dollar/rand and euro/rand carry trade returns. Moreover, the paper uses the quantile regression technique to assess whether this pricing varies with the distribution of the equity and bond returns. The findings support that the US- and euro-funded carry trade are essential factors for the pricing of equity and bond markets in South Africa. Moreover, the results of the two-factor model show a negative relationship between the equity excess return and the US-carry trade returns at lower quantiles of the equity market returns. The positive relationship is observed in the upper quantiles of the equity market. The negative relationship means that carry trade activities reduce equity market returns during a bear market as investors close out their position when conditions in the equity market become unfavourable. The results of the three-factor model, controlling for the global volatility or uncertainty, show that carry trade investors exit the equity market to invest in the bond market when global uncertainty rises. This finding shows that carry trade investors choose less risky assets during rising global uncertainty. Full article
(This article belongs to the Special Issue Financial Development and Economic Growth)
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16 pages, 554 KiB  
Article
Can Stock Investor Sentiment Be Contagious in China?
by Chi-Wei Su, Xu-Yu Cai and Ran Tao
Sustainability 2020, 12(4), 1571; https://doi.org/10.3390/su12041571 - 19 Feb 2020
Cited by 16 | Viewed by 4382
Abstract
This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, except for in the corporate bond [...] Read more.
This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, except for in the corporate bond market. In extreme situations, such as excessively optimistic or pessimistic sentiment, these markets will become more vulnerable to suffering from drastic fluctuations. On the contrary, the market return in government bonds, corporate bonds, and foreign exchange also has an influence on stock investor sentiment. Moreover, these links show various asymmetry due to the heterogeneity of different financial markets. Our results are consistent with the noise trader model, which shows the impact of investor sentiment on market returns. Hence, the authorities can sustain the stabilization of financial markets by reducing information asymmetry, guiding the rational sentiment of investors, and increasing effective regulations. Full article
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33 pages, 1596 KiB  
Article
A Quantitative Analysis of Risk Premia in the Corporate Bond Market
by Sara Cecchetti
J. Risk Financial Manag. 2020, 13(1), 3; https://doi.org/10.3390/jrfm13010003 - 20 Dec 2019
Cited by 2 | Viewed by 4541
Abstract
Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed whether the [...] Read more.
Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed whether the observed reduction in corporate credit risk was due to the decrease in risk aversion favored by the monetary easing or by expectations of lower losses due to corporate defaults. This work introduces a new methodology to break down the factors that drive corporate credit risk, namely the premium linked to cyclical and monetary conditions and that linked to the restructuring of the companies. Untangling these two components makes it possible to quantify the drivers of excess returns in the corporate bond market. Full article
(This article belongs to the Special Issue Corporate Debt)
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