Bethke, Sebastian, Gehde-Trapp, Monika and Kempf, Alexander (2017). Investor sentiment, flight-to-quality, and corporate bond comovement. J. Bank Financ., 82. S. 112 - 133. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1872-6372
Full text not available from this repository.Abstract
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor sentiment worsens, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is bad. Thus, bad investor sentiment leads to flight to-quality behavior and, ultimately, high bond correlation. Very good sentiment, in contrast, can cause risk factor correlation and bond correlation to be negative. (C) 2017 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-220251 | ||||||||||||||||
DOI: | 10.1016/j.jbankfin.2017.02.007 | ||||||||||||||||
Journal or Publication Title: | J. Bank Financ. | ||||||||||||||||
Volume: | 82 | ||||||||||||||||
Page Range: | S. 112 - 133 | ||||||||||||||||
Date: | 2017 | ||||||||||||||||
Publisher: | ELSEVIER SCIENCE BV | ||||||||||||||||
Place of Publication: | AMSTERDAM | ||||||||||||||||
ISSN: | 1872-6372 | ||||||||||||||||
Language: | English | ||||||||||||||||
Faculty: | Unspecified | ||||||||||||||||
Divisions: | Unspecified | ||||||||||||||||
Subjects: | no entry | ||||||||||||||||
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Refereed: | Yes | ||||||||||||||||
URI: | http://kups.ub.uni-koeln.de/id/eprint/22025 |
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