Corporate Bond Indices

June 22, 2012

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  • Aunon-Nerin, D., D. Cossin, T. Hricko, and Z. Huang, 2002. “Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed Income Markets’ Information Sufficient to Evaluate Credit Risk?” Working Paper, HEC-University of Lausanne.
  • Bao, Jack and Pan, Jun, Excess Volatility of Corporate Bonds, 2010. AFA 2009 San Francisco Meetings Paper; Charles A. Dice Center Working Paper No. 2010-20; Fisher College of Business Working Paper.
  • Bao, Jack, Pan Jun, Jiang Wang, 2011. “The Illiquidity of Corporate Bonds.” Journal of Finance, volume 66, pp. 911-946, 2011.
  • Ben Dor, A., L. Dynkin, P. Houweling, J. Hyman, E. Leeuwen, and O. Penninga. “DTS (Duration Times Spread): A New Measure of Spread Exposure in Credit Portfolios.” Lehman Brothers, June 2005
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  • Blanco, R., Brennan, S., Marsh, I., 2005. “An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps.” Journal of Finance 60, pp.2255–2281.
  • Boehmer, Ekkehart, and William L. Megginson, 1990. “Determinants of Secondary Market Prices for Developing Country Syndicated Loans.” Journal of Finance 45, pp. 1517-1540.
  • Bühler, W., and M. Trapp, 2008. “Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity.”
  • Cai, N., and X. Jiang, 2008. “Corporate bond returns and volatility.” Financial Review 43:1–26.
  • Campani, Carlos-Hector, Goltz, Felix, 2011. “A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures.”
  • Collin-Dufresne, P., R. Goldstein, and S. Martin, 2001. “The determinants of credit spread changes.” Journal of Finance, 56, pp.2177-2207.
  • Davis, Joseph H., Roger Aliaga-Díaz, Donald G. Bennyhoff, Andrew J. Patterson, and Yan Zilbering. 2010. “Deficits, the Fed, and rising interest rates: Implications and considerations for bond investors”. Valley Forge, Pa.
  • DeMiguel, Victor, Garlappi, Lorenzo and Uppal, Raman, 1/N (June 22, 2006). EFA 2006 Zurich Meetings.
  • Duffie, Darrell, Lasse H. Pedersen, and Kenneth J. Singleton, 2003. “Modeling Sovereign Yield Spreads: A Case Study of Russian Debt.” Journal of Finance 58, pp.119-159.
  • Edwards, A. K., L. E. Harris, and M. S. Piwowar, 2007. “Corporate bond market transaction costs and transparency.” Journal of Finance 62, pp.1421–1451.
  • Elton, E., M. Gruber, D. Agrawal, and C. Mann, 2001. “Explaining the rate spread on corporate bonds.” Journal of Finance 56, pp.247–277.
  • Ferreira, M. A., and P. M. Gama. 2007. “Does sovereign debt rating news spill over to international stock markets?” Journal of Banking and Finance 31 (10), pp. 3162–82.
  • Huang, J., and M. Huang, 2003. “How much of the Corporate-Treasury yield spread is due to credit risk?” Working paper, Stanford University .


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