The Global Credit Cycle
A nonlinear factor constructed from credit spreads and equity volatility prices global corporate bond returns, explaining up to 13% of three-month-ahead return variation across markets.
Featured in No. 132 on 25 Sep 2026 · 9 days after release
- Released
- 16 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- RePEc:cpr:ceprdp:21268
- Authors
- Nina Boyarchenko and Leonardo Elias
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).