Logotipo librería Marcial Pons
Systematic investing in credit

Systematic investing in credit

  • ISBN: 9781119751281
  • Editorial: John Wiley & Sons Limited
  • Lugar de la edición: Hoboken. Estados Unidos de Norteamérica
  • Colección: The Frank J. Fabozzi Series
  • Encuadernación: Cartoné
  • Medidas: 23 cm
  • Nº Pág.: 705
  • Idiomas: Inglés

Papel: Cartoné
93,60 € 88,92 €
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Lev and QPS continue to shed light on the most important questions facing credit investors. This book focuses on their latest cutting-edge research into the appropriate role of credit as an asset class, the dynamics of credit benchmarks, and potential ways to benefit from equity information to construct effective credit portfolios. It is must-read material for all serious credit investors

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? 3

Part Two Capitalizing on Index Inefficiencies Fallen Angels: Index Liquidation

Chapter 2 Fallen Angels: Characteristics, Performance, and Implications for Investors 81

Chapter 3 Fallen Angels: Capacity, Transaction Costs, and the Bond-CDS Basis 127

Chapter 4 Introducing the Fallen Angel Reversal Scorecard 163

New Issuance: Index Inclusion

Chapter 5 Issuance Dynamics and Performance of Corporate Bonds 191

Chapter 6 The Value of Waiting to Buy: Inclusion-Delay Investment-Grade Corporate Indices 215

Chapter 7 Concessions in Corporate Bond Issuance: Magnitude, Determinants, and Post-Issuance Dynamics 239

Performance Cost of Investment Constraints

Chapter 8 “Try-and-Hold” Credit Investing 265

Chapter 9 Effect of Rating-Based Stop-Loss Rules on Performance 303

Part Three Performance Implications of Portfolio Characteristics

Chapter 10 Coupon Effects in Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity 333

Chapter 11 Maturity Dependence of Corporate Bond Excess Returns 355

Chapter 12 ESG Investing in Credit 369

Part Four Factor Investing in Credit Value Investing

Chapter 13 Relative Value Investing in Credit Using Excess Spread to Peers 413

Chapter 14 Long-Horizon Value Investing in Credit Using Spread per Unit of Debt-to-Earnings Ratio 435

Momentum Investing

Chapter 15 Equity Momentum in Credit 483

Chapter 16 Corporate Sector Timing Using Equity Momentum 515

Size Effect

Chapter 17 Issuer Size Premium in Credit Markets 527

Combining Factor Strategies

Chapter 18 Integrating Systematic Strategies into Credit Portfolio Construction 563

Chapter 19 OneScore: Combining Quantitative and Fundamental Views in Credit 597

Part Five Using Equity-Related Data, Dynamics, and Instruments

Chapter 20 Does the Post-Earnings-Announcement-Drift Extend to Credit Markets? 613

Chapter 21 Equity Short Interest as a Signal for Credit Investing 653

Index 691


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