Using large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area … through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry …, holdings of ‘buy-and-hold’ bond investors are large in aggregate but small for weaker issuers. Nevertheless, the bond investors …

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

-financial corporations. For the first time we compare these factors to those of its major competitor: the corporate bond market. We find that …

This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real … economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three … the composition and the number of relevant model variables evolve over time. Corporate bond spreads turn out to be …

corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk … tendency for CDS markets to lead corporate bond markets in terms of price discovery. We find that the outbreak of the financial … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads … factors and hence in the dynamics of the risk-free yield curve and corporate bond spreads. Across the risk-free OIS curve …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity … betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply …

We assess the effect and the timing of the corporate arm of the ECB quantitative easing (CSPP) on corporate bond …