If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

Does European high yield lead or lag? Turning lead into gold …

$43.00 plus tax (Refund Policy)

Buy Article:


While many market participants look to high yield bond markets as either a leading indicator of credit performance or as simply lagging equities, this paper tests for leading or lagging relationships among the daily returns of high yield, investment grade and equity markets. No clear lead or lag between the investment grade bond market and high yield issues in Europe is found. European high yield issues tend to lag US high yield bond markets, and are also inclined to lag US equity performance. A simple timing model that attempts to exploit the high yield bond/equity market lag is tested.Journal of Asset Management (2002) 3, 229–236; doi:10.1057/palgrave.jam.2240077

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240077

Publication date: December 1, 2002

Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more