Perspectives: Another Clue to Volatility
Posted: 11 Jun 2011
Date Written: June 9, 2011
Financial economists treat volatility as a function of investors’ responses to new information. They generally presume that if an asset class is more volatile in one geographical region than in another, it is attributable to a difference in either the local version of the asset class or the economic environment. A case study involving high-yield bond volatility in Europe and the United States suggests that cultural differences may also contribute to disparities in volatility.
Keywords: fixed income, analysis of credit risk, volatility risk; fixed-income markets, characteristics, institutions, benchmarks, sovereign debt, fixed-income valuation, sector, industry, company, return analysis, price volatility characteristics of bonds
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