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Is the corporate bond market forward looking?
Hilscher, Jens - 2007
This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that corporate bond transaction prices contain substantial...
Persistent link: https://www.econbiz.de/10011604846
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The pricing of risk in European credit and corporate bond markets
Berndt, Antje; Obreja, Iulian - 2007
spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …
Persistent link: https://www.econbiz.de/10011604851
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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with …
Persistent link: https://www.econbiz.de/10011605131
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An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
Alexopoulou, Ioana - 2009
turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with …
Persistent link: https://www.econbiz.de/10013156973
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Determinants of Euro-Denominated Corporate Bond Spreads
Krylova, Elizaveta - 2016
This paper computes time-varying indicators of the relative importance of different credit spread determinants, including rating, sector and country attribution as well as the coupon rate, maturity and liquidity on the basis of the comprehensive dataset of individual bonds. Additionally, it...
Persistent link: https://www.econbiz.de/10012988552
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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area
Krylova, Elizaveta - 2016
This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...
Persistent link: https://www.econbiz.de/10012988612
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Bank Balance Sheet Constraints and Bond Liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds’...
Persistent link: https://www.econbiz.de/10013210622
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Issuance and Valuation of Corporate Bonds with Quantitative Easing
Pegoraro, Stefano; Montagna, Mattia - 2021
After the announcement of the European Central Bank’s corporate quantitative easing program, non-financial corporations timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds did not increase total issuance compared to other...
Persistent link: https://www.econbiz.de/10013243816
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The Pricing of Risk in European Credit and Corporate Bond Markets
Berndt, Antje; Obreja, Iulian - 2021
spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …
Persistent link: https://www.econbiz.de/10013316873