response of sovereign spreads to changes in tax revenues, bases and rates. In simple OLS regressions there is a negligible … relationship between sovereign spreads and taxation. However, there are stronger relationships in emerging markets, specifically … sovereign spreads - this contemporaneous relationship holds using both annual and daily datasets. Additionally, an assessment of …

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a … ratios of house prices and rents and their spreads estimate unobserved daily fluctuations and illiquidity risks. Including …. With a mean excess return of 3.7%, the Sharpe ratio of 0.42 is comparable to the S&P 500. Excluding spreads, the house …

, using realized bid–ask spreads as a liquidity measure, we find that on average, 21% of the observable yield spread on the …

surprising evidence that the CDS spreads of a bank increase (decrease) after the announcement of a higher (lower) capital … surcharge. However, this effect is temporary, as the mean CDS spreads revert to preannouncement level, dropping sharply after …

We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal … consolidation decrease the spreads-however, the full-sample result masks substantial time and country variation. The impact of …

. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because …