Systematic investing in credit
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| Main Authors: | , , , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
John Wiley & Sons, Inc.,
2020.
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| Series: | The Frank J. Fabozzi series
|
| Subjects: | |
| Online Access: | CONNECT |
Table of Contents:
- Introduction
- Part One Investing in Credit vs. Investing in a Combination of Treasuries and Equities
- Can a Combination of Treasuries and Equities Replace Credit in a Portfolio?
- Part Two Capitalizing on Index Inefficiencies
- Fallen Angels Characteristics, Performance, and Implications for Investors
- Fallen Angels: Capacity, Transaction Costs, and the Bond-CDS Basis
- Introducing the Fallen Angel Reversal Scorecard
- Issuance Dynamics and Performance of Corporate Bonds
- The Value of Waiting to Buy: Inclusion-Delay Investment-Grade Corporate Indices
- Concessions in Corporate Bond Issuance: Magnitude, Determinants, and Post-Issuance Dynamics
- "Try-and-Hold" Credit Investing
- Effect of Rating-Based Stop-Loss Rules on Performance
- Part Three Performance Implications of Portfolio Charachteristics
- Coupon Effects in Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity
- Maturity Dependence of Corporate Bond Excess Returns
- ESG Investing in Credit
- Part Four Factor Investing in Credit
- Relative Value Investing in Credit Using Excess Spread to Peers
- Long-Horizon Value Investing in Credit Using Spread per Unit of Debt-to-Earnings Ratio
- Equity Momentum in Credit
- Corporate Sector Timing Using Equity Momentum
- Issuer Size Premium in Credit Markets
- Integrating Systemic Strategies into Credit Portfolio Construction
- OneScore: Combining Quantitative and Fundamental Views in Credit
- Part Five Using Equity-Related Data, Dynamics, and Instruments
- Does the Post-Earnings-Announcement-Drift Extend to Credit Markets?
- Equity Short Interest as a Signal for Credit Investing.
