The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on …