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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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PUBLISHED AND FORTHCOMING PAPERS
Pricing of Sustainability-Linked
Bonds (with Kristoffer Halskov and Arthur Krebbers), Journal of Financial Economics, forthcoming
Is Capital
Structure Irrelevant with ESG investors? (with Lasse Heje
Pedersen), Review of Financial Studies, forthcoming
Debt Dynamics and Credit Risk (with Stephen
Schaefer), 2023, Journal of Financial Economics, 149, 497-535
Firms with low equity returns take on more debt
in the short run and less debt in the long run compared to firms with high
equity returns. We incorporate these stochastic debt dynamics into structural
models of credit risk, improving predictions of credit spreads.
Leveraged Buyouts and Bond Credit Spreads (with Yael Eisenthal-Berkovitz and Vikrant Vig),
2020, Journal of Financial Economics, 135, 577-601
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 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 2023:06: 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
A New Test
for an Old Puzzle (with Lorenzo Bretscher, Andrew
Kane, and Lukas Schmid)
Corporate
Bond Factors: Replication Failures and a New Framework (with Jens
Dick-Nielsen, Lasse Heje Pedersen and Christian Stolborg)
Winner of the Utah Winter Finance Conference Best Paper Award 2024
The
Financial Premium (with Jens Dick-Nielsen and David Lando)
Marking to
Market Corporate Debt (with Lorenzo Bretscher,
Andrew Kane, and Lukas Schmid)
Winner of the Jacob Gold & Associates Best Paper Award, ASU Sonoran
Winter Finance Conference 2021
What Determines Bid-Ask Spreads in Over-the-Counter
Markets? (with Thomas Kjær Poulsen)
Keep it Simple: Dynamic Bond Portfolios Under
Parameter Uncertainty (with Linda S. Larsen, Claus Munk, and Anders B. Trolle)