We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

A new concept of credit spread for defaultable bond pricing is introduced in this paper. When combined with the …

not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

corresponding bond and its issuer. We analyze a large sample of more than 1,500 Green bonds with respect to their pricing on the …, credibility of the Green label reveals to be of particular importance. Investors are more likely to consider a corporate bond as … Green, i.e., be willing to pay a premium for it, when the bond is certified as such by a third party, or when the bond is …