Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market

Thomas Nitschka

No 2014-13, Working Papers from Swiss National Bank

Abstract: Bonds of Swiss non-government borrowers offered higher daily excess returns ('alphas') than suggested by their sensitivities to standard risk factors over the sample period from 2007 to 2014. By contrast, comparable bonds (same currency denomination and credit rating category) issued by foreign entities did not offer significant risk-adjusted returns and exhibited markedly different sensitivities to Swiss and global risk factors. However, the positive risk-adjusted returns on Swiss bonds disappear when controlling for measures of uncertainty such as stock price volatility. Swiss bond prices rose when stock market volatility was high thus offering insurance in times of uncertainty.

Keywords: bond return; risk factors; uncertainty (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2014
New Economics Papers: this item is included in nep-cfn
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2014-13

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