Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market?
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Cited by:
- Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda, 2006.
"The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market,"
International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
- Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda, 2005. "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market," CIRJE F-Series CIRJE-F-339, CIRJE, Faculty of Economics, University of Tokyo.
- Baba, Naohiko & Nakashima, Motoharu & Shigemi, Yosuke & Ueda, Kazuo, 2005. "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market," MPRA Paper 816, University Library of Munich, Germany.
- Naohiko Baba & Motoharu Nakashima & Yousuke Shigemi & Kazuo Ueda, 2005. "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market," CIRJE F-Series CIRJE-F-374, CIRJE, Faculty of Economics, University of Tokyo.
- Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda, 2005.
"The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (Subsequently published in "International Journal of Central Banking", March 2006, Vol.2, No. 1, 105-136. ),"
CARF F-Series
CARF-F-034, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Naohiko Baba & Motoharu Nakashima & Yousuke Shigemi & Kazuo Ueda, 2005. "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (subsequently published in "International Journal of Central Banking", March 2006, Vol.2, No. 1, 105-136. )," CARF F-Series CARF-F-048, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Shinichi Nishioka & Naohiko Baba, 2004. "Negative Interest Rates under the Quantitative Monetary Easing Policy in Japan: The Mechanism of Negative Yen Funding Costs in the FX Swap Market," Bank of Japan Working Paper Series 04-E-8, Bank of Japan.
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Keywords
Corporate Bond; Portfolio Selection; Skewness; Co-Skewness; beta-CAPM; gamma-CAPM;All these keywords.
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