This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … reduction of the yields of bonds issued by banks not categorized as GSIBs, and not by significant increases in the GSIBs’ bond …

and NGEU initiatives helped improve EU bonds' market liquidity from previously low levels, also reducing liquidity risk … premia. Eurosystem purchases and holdings of EU bonds did not impair market liquidity. Currently, one obstacle to EU bonds … bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over …

find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures …

factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our … liquidity, seem to have significantly contributed to these misalignments. …

studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis …Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper …