Josef-Stefan Wenzler

Abaris Investment Management

Bächaustrasse 61

Bäch, 8806

Switzerland

IQ-KAP

Frankfurt am Main

Germany

Deka Investment GmbH

Mainzer Landstrasse 16

Frankfurt am Main, 60325

Germany

  • Abaris Investment Management

  • IQ-KAP

  • Deka Investment GmbH

SCHOLARLY PAPERS

5

DOWNLOADS

1,439

SSRN CITATIONS

8

CROSSREF CITATIONS

5

Scholarly Papers (5)

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1.

Extending Fama-French Factors to Corporate Bond Markets

Journal of Portfolio Management, 45 (3), 141-158, 2019, https://jpm.pm-research.com/content/45/3/141
Number of pages: 4 Posted: 18 Jan 2016 Last Revised: 26 Oct 2020
Demir Bektic, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck and Timo Spielmann
Technical University of Darmstadt, Abaris Investment Management, Deka Investment GmbH, Technical University of Darmstadt and Deka Investment GmbH
Downloads 1,227 (27,447)
Citation 11

Abstract:

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corporate bonds, risk premia, factors, size, value, profitability, investment

2.

The Fear of Credit Risk and the Spread Divided by Duration (SDD) Anomaly in Global Credit Markets

Number of pages: 34 Posted: 20 Nov 2019 Last Revised: 02 Mar 2020
Josef-Stefan Wenzler
Abaris Investment Management
Downloads 91 (445,753)

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Factor Investing, Value, Risk Premium, Credit Market, Credit Risk, Credit Spread, Credit Anomaly

3.

Equity Momentum: The Global Engine of Credit Rating Migration and Performance

Number of pages: 39 Posted: 07 Jan 2020
Timo Spielmann and Josef-Stefan Wenzler
Deka Investment GmbH and Abaris Investment Management
Downloads 74 (504,003)
Citation 1

Abstract:

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corporate bonds, risk premia, factors, equity momentum spillover, target rating

4.

Dynamics of Global Credit Markets

Number of pages: 58 Posted: 24 Jun 2019 Last Revised: 02 Mar 2020
Josef-Stefan Wenzler
Abaris Investment Management
Downloads 47 (627,390)
Citation 1

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Distance To Default, Contingent Claims, Structural Model, Credit Market, Credit Spread Puzzle, Asset Pricing, Credit Spread

5.

Common Equity Factors in Corporate Bond Markets

Common Equity Factors in Corporate Bond Markets, in Jurczenko, E. (Ed.), Factor Investing, ISTE Press – Elsevier, 2017.
Posted: 03 May 2017 Last Revised: 12 Sep 2017
Demir Bektic, Dr. Ulrich Neugebauer, Michael Wegener and Josef-Stefan Wenzler
Technical University of Darmstadt, Deka Investment GmbH, Deka Investment GmbH and Abaris Investment Management

Abstract:

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corporate bonds, factor investing, risk premium, size, value, momentum, beta