Antje Berndt-Stone - Dokumente zum Namen

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Default Risk Premia and Asset Returns by Antje Berndt, Aziz A....

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We identify a common default risk premia (DRP) factor in the risk-adjusted excess returns on pure default-contingent claims. Asset pricing tests ...

Anastasiya Ostrovnaya, hooded by Prof. Antje Berndt

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Anastasiya Ostrovnaya, hooded by Prof. Antje Berndt Atul Bhandari, hooded by Prof. Alan Scheller-Wolf Dan Li receives her diploma from Dean Dunn Miroslav...

Monetary Policy, Bond Returns and Debt Dynamics by Antje Berndt,...

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Using the government’s intertemporal budget constraint, we quantify the contribution of returns paid on the U.S. government’s debt portfolio to the evolution of

[PDF] community challenge inquiry respect - Free Download PDF

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1 Fall Mission The Raleigh School is a cooperative community of children, parents, and teachers that fosters a lov...

What Broker Charges Reveal About Subprime Mortgage Credit Risk by...

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Prior to the subprime crisis, mortgage brokers charged higher fees for subprime loans that turned out to be riskier ex post, even when conditioning on other ris

6th World Congress of the Bachelier Finance Society

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Michigan. Antje Berndt, Carnegie Mellon University. Mark Broadie, Columbia University.

Corporate Credit Risk Premia by Antje Berndt, Rohan Douglas, Darrell...

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We measure credit risk premia - prices for bearing corporate default risk in excess of expected default losses - using Markit CDS and Moody’s Analytics EDF data

A Credit Spread Puzzle for Reduced-Form Models by Antje Berndt :: SSRN

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Reduced-form models of default calibrated to expected default losses and comovements between default losses and an equity-based pricing kernel generate CDS spre

How Does the U.S. Government Finance Fiscal Shocks? by Antje Berndt,...

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We develop a method for identifying and quantifying the fiscal channels that help finance government spending shocks. We define fiscal shocks as surprises in de

The Credit and Bond Liquidity Effects of Hedge Fund Activism by Antje...

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I document an abnormal increase in the price of default insurance for target firms at the time of an activist hedge fund intervention, despite an abnormal decre

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Dokumente zum Namen Antje Berndt-Stone