PT - JOURNAL ARTICLE AU - Marcel Prokopczuk AU - Volker Vonhoff TI - Risk Premia in Covered Bond Markets AID - 10.3905/jfi.2012.22.2.019 DP - 2012 Sep 30 TA - The Journal of Fixed Income PG - 19--29 VI - 22 IP - 2 4099 - https://pm-research.com/content/22/2/19.short 4100 - https://pm-research.com/content/22/2/19.full AB - The authors empirically explore risk premia in mortgage covered bond markets. Using a large panel dataset of covered bond asset swap spreads, they study the impact of different legal and economic environments. Conducting an in-depth analysis of this market, the authors find significant but small differences between countries during normal market periods. However, these differences are much stronger during times of economic crisis. Moreover, they find that developments in the real estate market are of relatively little importance during stable market periods. During economic distress, however, they are of high importance for explaining risk premia in covered bond markets.TOPICS: Real estate, analysis of individual factors/risk premia, fixed-income portfolio management, legal and regulatory issues for structured finance