We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

Using a 2009-2019 sample of Chinese bond issuers, we examine the effect of carbon risk on bond financing costs …. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because … their credit risk is greater and they invest the funds in non-green projects. This positive relationship is more pronounced …

empirical estimation is conducted using an Error Correction Model (ECM) for a dataset of monthly time series from 1970 to 2003 …

, the announcement produced substantial spillover effects on risk premia. Credit risk premia declined, both in the corporate … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

This paper studies the asset pricing implications of idiosyncratic labor income tail risk on credit spread. I propose a … model featuring an incomplete market, heterogeneous households with recursive preference, and comovement of tail risk in … to labor tail risk. Quantitatively, the tail risk premium can account for as much as 68% of the observed credit spread …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …

risk premia in the bond market. In order to estimate the dimensionality of the hidden risk factors jointly with the model … confirms the presence of four common risk components affecting the U.S. corporate bonds during the period between September … 2006 and March 2008. However, one single risk factor is sufficient to describe the data for all time periods prior to mid …