changes in expected individual tax rates, a finding that refutes theories of municipal bond pricing that focus exclusively on … municipal bond market was segmented, with different investor clienteles at short and long maturities. The Tax Reform Act of 1986 … is likely to affect this market, however, since it has restricted tax benefits from tax-exempt bond investment by …

changes in expected individual tax rates, a finding that refutes theories of municipal bond pricing that focus exclusively on … municipal bond market was segmented, with different investor clienteles at short and long maturities. The Tax Reform Act of 1986 … is likely to affect this market, however, since it has restricted tax benefits from tax-exempt bond investment by …

This papers studies the CDS-bond basis, i.e. a measure of price discrepancies between CDS and bonds spreads, for a …, to measures of "bond value uncertainty", which proxy for the increase in "haircuts" and to the "OIS-Tbill" spread, a …. CDS, bond spread, funding liquidity, repurchase agreement, convergence trading, financial crisis …

to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … series. -- Bond markets ; credit default swaps ; credit risk ; financial crisis ; GARCH ; stock markets ; volatility …

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …

daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As …