in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …

arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected … loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using …, French, Spanish and Italian firms. The results show that the bond risk premium is the largest component. While the expected …

-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus …