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Double Diamond Investors

Methodology. Results. Double Diamond. Variables. Double Diamond. Variables ... Double Diamond. Methodology. Used 3 Dependent Variables. Datastream ...

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Double Diamond Investors

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    1. Double ?? Diamond Investors

    Predicting Credit Spreads Doug Carson Joe Franke Jim Gereghty Fran Mulvey Jamie Vogel

    2. Double ?? Diamond

    Introduction Variables Methodology Results

    3. Introduction

    Credit Spreads Firm Specific Risk Systematic Risk Yield on Corporate Bond Yield on US Treasury

    4. Introduction

    5. Double ?? Diamond

    Introduction Variables Methodology Results

    6. Variables

    7. Variables

    8. Double ?? Diamond

    Introduction Variables Methodology Results

    9. Methodology

    Used 3 Dependent Variables Datastream Aggregate Bloomberg AAA, 10-year Index Bloomberg BBB, 10-year Index Regressed against independent variables (in-sample)

    10. Methodology

    Found multi-factor model for each credit spread Datastream Aggregate: 7-factor Bloomberg AAA, 10-year: 5-factor Bloomberg BBB, 10-year: 7-factor Used multi-factor model from the in-sample periods to forecast the out-of-sample periods for each variable

    11. Double ?? Diamond

    Introduction Variables Methodology Results

    12. Results

    13. Double ??Diamond

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