Existing work on investor heterogeneity in corporate bond markets mainly focuses on the shares of different types of … investors. We find that investor concentration also plays an important role in corporate bond pricing dynamics and secondary …

This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results … among bonds with the same ratings. First, we apply a nonlinear utility function to the expected utility theory and observe … different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the …

We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First …

Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment … such alphas is bond price reversals post news events. Our findings highlight that bond mutual funds represent a significant … liquidity provider in the corporate bond market and play a complementary role to dealers in corporate news events. …

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …