ISBN 13 : 978-1-119-75128-1

Contents :
Introduction

Part One Investing in Credit vs. Investing in a Combination of Treasuries and Equities
Chapter 1 Can a Combination of Treasuries and Equities Replace Credit in a Portfolio?

Part Two Capitalizing on Index Inefficiencies Fallen Angels: Index Liquidation
Chapter 2 Fallen Angels: Characteristics, Performance, and Implications for Investors
Chapter 3 Fallen Angels: Capacity, Transaction Costs, and the Bond-CDS Basis
Chapter 4 Introducing the Fallen Angel Reversal Scorecard

New Issuance: Index Inclusion
Chapter 5 Issuance Dynamics and Performance of Corporate Bonds
Chapter 6 The Value of Waiting to Buy: Inclusion-Delay Investment-Grade Corporate Indices
Chapter 7 Concessions in Corporate Bond Issuance: Magnitude, Determinants, and Post-Issuance Dynamics

Performance Cost of Investment Constraints
Chapter 8 “Try-and-Hold” Credit Investing
Chapter 9 Effect of Rating-Based Stop-Loss Rules on Performance

Part Three Performance Implications of Portfolio Characteristics
Chapter 10 Coupon Effects in Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity
Chapter 11 Maturity Dependence of Corporate Bond Excess Returns
Chapter 12 ESG Investing in Credit

Part Four Factor Investing in Credit Value Investing
Chapter 13 Relative Value Investing in Credit Using Excess Spread to Peers
Chapter 14 Long-Horizon Value Investing in Credit Using Spread per Unit of Debt-to-Earnings Ratio

Momentum Investing
Chapter 15 Equity Momentum in Credit
Chapter 16 Corporate Sector Timing Using Equity Momentum

Size Effect
Chapter 17 Issuer Size Premium in Credit Markets

Combining Factor Strategies
Chapter 18 Integrating Systematic Strategies into Credit Portfolio Construction
Chapter 19 OneScore: Combining Quantitative and Fundamental Views in Credit

Part Five Using Equity-Related Data, Dynamics, and Instruments
Chapter 20 Does the Post-Earnings-Announcement-Drift Extend to Credit Markets?
Chapter 21 Equity Short Interest as a Signal for Credit Investing

Index

Language : English

Series : FRANK J. FABOZZI SERIES

Place of publishing : TORONTO

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque