Tag Archives: S&P U.S. Preferred Stock Index
Low Volatility Effect in the U.S. Preferred Stock Market
The low volatility effect in equities refers to the findings that stocks that previously exhibited lower realized volatility outperform those with higher volatility as well as the broad based market on a risk-adjusted basis. It has been well documented in academic and practitioner research, and we have also seen widespread adoption in investment product offerings…
- Categories Fixed Income
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Can Realized Volatility Predict Future Volatility for Preferred Securities?
The investment community routinely uses historical realized volatility as an indicator of future volatility. One prominent example of this is the construction of ranking-based, low volatility equity strategies where realized volatility is used to form low volatility portfolios. Can the realized volatility of an asset indicate its future volatility? We extend the low volatility analysis…
- Categories Equities, Factors, Fixed Income
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- Equities, Factors, Fixed Income
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Quality and Diversification within the Preferred Stock Space
Preferred stocks are a class of stock that pays dividends at a specified rate and has a preference over common stock in the payment of dividends and the liquidation of assets. This asset class offers investors a unique place in the capital structure that is often overlooked. In addition, their relatively low correlations with traditional…
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Preferences of Preferred Stock
Preferred stock is a hybrid security that has characteristics of both stocks and bonds. In the capital structure, preferred shares are subordinate to bank loans and senior corporate bonds, but they are senior to common stock. If a company had to file for bankruptcy and the assets of the company were liquidated, preferred shareholders would…
- Categories Fixed Income
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- Fixed Income
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