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PETER FELDHÜTTER Professor of Finance Email: pf.fi@cbs.dk Phone: +45 38153753 Department of Finance Copenhagen Business School Solberg Plads 3, A4.02 2000 Frederiksberg Denmark
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RESEARCH INTERESTS
Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk
PUBLISHED AND FORTHCOMING PAPERS
Leveraged
Buyouts and Bond Credit Spreads (with Yael
Eisenthal-Berkovitz and Vikrant Vig), 2018, Journal of Financial
Economics, forthcoming
We show
that the threat of a leveraged buyout has a substantial ex-ante impact on bond
credit spreads, on average 18-21bps. The impact is stronger in expansion
periods and for long-maturity bonds.
The Myth of The Credit Spread Puzzle (with Stephen Schaefer), 2018, Review of Financial
Studies, 31, 2897-2942.
We propose a statistically more precise
approach for calibrating structural models of credit risk to historical default
rates. Using this new approach we find that a standard structural model
(Black-Cox[1976]) matches the level of investment grade bonds well. Model
spreads for speculative bonds are too low, partly due to bond illiquidity.
Jack Treynor Prize Winner, 2015
Risk Premia and Volatilities
in a Nonlinear Term Structure Model (with Christian Heyerdahl-Larsen and
Philipp Illeditsch), 2018, Review of Finance, 22, 337-380
A nonlinear term structure model with
closed-form solutions. The model with only three latent factors captures
variation in expected excess returns and yield volatilities and exhibits
features consistent with unspanned stochastic volatility and unspanned risk
premia.
Outstanding Paper
Award, Wharton’s Jacobs Levy Equity Management Center for Quantitative
Research, 2014
The
Value of Creditor Control in Corporate Bonds (with Edith
Hotchkiss and Oğuzhan Karakaş), 2016, Journal of Financial
Economics, 121,
1-27.
A new way to measure the premium in
corporate bond prices that is related to creditor control. The premium
increases as firm credit quality decreases and around defaults, bankruptcies,
and covenant violations.
Can
Affine Models Match the Moments in Bond Yields?, 2016, Quarterly Journal of Finance, 2, 1650009
For a wide range of risk premium
specifications, there is no three-factor affine model that can simultaneously
capture the predictability in bond excess returns and time variation in yield
volatility.
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (with Jens Dick-Nielsen and David Lando), 2012, Journal of Financial Economics, 103, 471-492.
Illiquidity
premia in US corporate bonds were large during the subprime crisis. Bonds
become less liquid when financial distress hits a lead underwriter.
Monthly time series 2002:07-2009:12 of illiquidity of all US corporate bonds, industrial bonds, and financial bonds in the paper: Download. Updated data through 2018:09: Download. Our results are used in an Oliver Wyman study on the impact of the Volcker Rule on corporate bond liquidity. The study and our results are discussed in New York Times and Financial Times.
The Same Bond
at Different Prices: Identifying Search Frictions and Selling Pressures, 2012,
Review of Financial Studies, 25, 1155-1206.
A new way to measure
selling pressures in over-the-counter markets. The evidence shows strong
selling pressure in GM bonds in May 2005 and market-wide selling pressures in
US corporate bonds during the subprime crisis.
Systematic and Idiosyncratic
Default Risk in Synthetic Credit Markets (with Mads Stenbo Nielsen), 2012, Journal of Financial Econometrics,
10, 292-324.
How to estimate an intensity-based model for
correlated defaults without the usual assumptions. The model matches the
time-series variation of CDO tranche spreads well.
Previously entitled ‘‘An Empirical Investigation of an Intensity-Based Model for
Pricing CDO Tranches”
Decomposing Swap Spreads (with David Lando), 2008, Journal of Financial Economics, 88, 375-405.
Use swap rates not Treasury yields as
riskless rates. Hedging activity in the MBS market occasionally pushes swap
rates down.
Society of Quantitative Analysts award for
best paper on quantitative investment, Western Finance Association, 2006
WORKING PAPERS
Debt
Dynamics and Credit Risk (with Stephen Schaefer), 2020
Marking to
Market Corporate Debt (with Lorenzo Bretscher, Andrew Kane, and Lukas
Schmid), 2020
What
Determines Bid-Ask Spreads in Over-the-Counter Markets? (with Thomas Kjær
Poulsen), 2018
Keep
it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty (with Linda
S. Larsen, Claus Munk, and Anders B. Trolle), 2012